tarf_monte_carlo 3.21 → 3.26
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- checksums.yaml +4 -4
- data/ext/tarf_monte_carlo/Makefile +264 -0
- data/ext/tarf_monte_carlo/tarf_monte_carlo.c +81 -6
- data/lib/tarf_monte_carlo/version.rb +1 -1
- metadata +3 -2
checksums.yaml
CHANGED
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@@ -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: 1b551fb41bf0f6bada89b8b9b56a1cc16d1b6bdba6c4bece434a5ca8bbb103bc
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4
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data.tar.gz: 6c76e80342cc906a4ad39665a8cc6ffe460b473e3fd2985bf3df571a6252f1d4
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: 5fe7a19bb8dd61ca522a23e5a216c726f7af22b385c9d16b111c9c903f5b7414ef64569168ee301e3a5fe62cb5b2f534e3445c65290f355c0d38c10af30ac5b0
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7
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data.tar.gz: 6115a3972cb63edc48c8ee6c93d6206931608ef780a6322d9c6ff1add58cb3f43562288a0399abac710b4b27c5de5ede3a10d1166834da1044134d444a247c3b
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@@ -0,0 +1,264 @@
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SHELL = /bin/sh
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# V=0 quiet, V=1 verbose. other values don't work.
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V = 0
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Q1 = $(V:1=)
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Q = $(Q1:0=@)
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ECHO1 = $(V:1=@ :)
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ECHO = $(ECHO1:0=@ echo)
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NULLCMD = :
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#### Start of system configuration section. ####
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srcdir = .
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topdir = /Users/vivektripathi/.rvm/rubies/ruby-2.5.1/include/ruby-2.5.0
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hdrdir = $(topdir)
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arch_hdrdir = /Users/vivektripathi/.rvm/rubies/ruby-2.5.1/include/ruby-2.5.0/x86_64-darwin18
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PATH_SEPARATOR = :
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VPATH = $(srcdir):$(arch_hdrdir)/ruby:$(hdrdir)/ruby
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prefix = $(DESTDIR)/Users/vivektripathi/.rvm/rubies/ruby-2.5.1
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rubysitearchprefix = $(rubylibprefix)/$(sitearch)
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rubyarchprefix = $(rubylibprefix)/$(arch)
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rubylibprefix = $(libdir)/$(RUBY_BASE_NAME)
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exec_prefix = $(prefix)
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vendorarchhdrdir = $(vendorhdrdir)/$(sitearch)
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sitearchhdrdir = $(sitehdrdir)/$(sitearch)
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rubyarchhdrdir = $(rubyhdrdir)/$(arch)
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vendorhdrdir = $(rubyhdrdir)/vendor_ruby
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sitehdrdir = $(rubyhdrdir)/site_ruby
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rubyhdrdir = $(includedir)/$(RUBY_VERSION_NAME)
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vendorarchdir = $(vendorlibdir)/$(sitearch)
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vendorlibdir = $(vendordir)/$(ruby_version)
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vendordir = $(rubylibprefix)/vendor_ruby
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sitearchdir = $(sitelibdir)/$(sitearch)
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sitelibdir = $(sitedir)/$(ruby_version)
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sitedir = $(rubylibprefix)/site_ruby
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rubyarchdir = $(rubylibdir)/$(arch)
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rubylibdir = $(rubylibprefix)/$(ruby_version)
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sitearchincludedir = $(includedir)/$(sitearch)
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archincludedir = $(includedir)/$(arch)
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sitearchlibdir = $(libdir)/$(sitearch)
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archlibdir = $(libdir)/$(arch)
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ridir = $(datarootdir)/$(RI_BASE_NAME)
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mandir = $(datarootdir)/man
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localedir = $(datarootdir)/locale
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libdir = $(exec_prefix)/lib
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psdir = $(docdir)
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pdfdir = $(docdir)
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dvidir = $(docdir)
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htmldir = $(docdir)
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infodir = $(datarootdir)/info
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docdir = $(datarootdir)/doc/$(PACKAGE)
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oldincludedir = $(SDKROOT)/usr/include
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includedir = $(prefix)/include
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localstatedir = $(prefix)/var
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sharedstatedir = $(prefix)/com
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sysconfdir = $(prefix)/etc
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datadir = $(datarootdir)
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datarootdir = $(prefix)/share
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libexecdir = $(exec_prefix)/libexec
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sbindir = $(exec_prefix)/sbin
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bindir = $(exec_prefix)/bin
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archdir = $(rubyarchdir)
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CC = gcc
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CXX = g++
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LIBRUBY = $(LIBRUBY_SO)
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LIBRUBY_A = lib$(RUBY_SO_NAME)-static.a
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LIBRUBYARG_SHARED = -l$(RUBY_SO_NAME)
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LIBRUBYARG_STATIC = -l$(RUBY_SO_NAME)-static -framework Foundation
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empty =
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OUTFLAG = -o $(empty)
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COUTFLAG = -o $(empty)
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CSRCFLAG = $(empty)
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RUBY_EXTCONF_H =
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cflags = $(optflags) $(debugflags) $(warnflags)
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cxxflags = $(optflags) $(debugflags) $(warnflags)
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optflags = -O3
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debugflags = -ggdb3
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warnflags = -Wall -Wextra -Wno-unused-parameter -Wno-parentheses -Wno-long-long -Wno-missing-field-initializers -Wno-tautological-compare -Wno-parentheses-equality -Wno-constant-logical-operand -Wno-self-assign -Wunused-variable -Wimplicit-int -Wpointer-arith -Wwrite-strings -Wdeclaration-after-statement -Wshorten-64-to-32 -Wimplicit-function-declaration -Wdivision-by-zero -Wdeprecated-declarations -Wextra-tokens
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CCDLFLAGS = -fno-common
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CFLAGS = $(CCDLFLAGS) $(cflags) -fno-common -pipe $(ARCH_FLAG)
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INCFLAGS = -I. -I$(arch_hdrdir) -I$(hdrdir)/ruby/backward -I$(hdrdir) -I$(srcdir)
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DEFS =
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CPPFLAGS = -I/usr/local/opt/libyaml/include -I/usr/local/opt/libksba/include -I/usr/local/opt/readline/include -I/usr/local/opt/zlib/include -I/usr/local/opt/openssl@1.1/include -D_XOPEN_SOURCE -D_DARWIN_C_SOURCE -D_DARWIN_UNLIMITED_SELECT -D_REENTRANT $(DEFS) $(cppflags)
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CXXFLAGS = $(CCDLFLAGS) $(cxxflags) $(ARCH_FLAG)
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ldflags = -L. -fstack-protector -L/usr/local/lib -L/usr/local/opt/libyaml/lib -L/usr/local/opt/libksba/lib -L/usr/local/opt/readline/lib -L/usr/local/opt/zlib/lib -L/usr/local/opt/openssl@1.1/lib
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dldflags = -Wl,-undefined,dynamic_lookup -Wl,-multiply_defined,suppress -L/usr/local/opt/libyaml/lib -L/usr/local/opt/libksba/lib -L/usr/local/opt/readline/lib -L/usr/local/opt/zlib/lib -L/usr/local/opt/openssl@1.1/lib
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ARCH_FLAG =
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DLDFLAGS = $(ldflags) $(dldflags) $(ARCH_FLAG)
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LDSHARED = $(CC) -dynamic -bundle
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LDSHAREDXX = $(CXX) -dynamic -bundle
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AR = libtool -static
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EXEEXT =
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RUBY_INSTALL_NAME = $(RUBY_BASE_NAME)
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RUBY_SO_NAME = ruby.2.5.1
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RUBYW_INSTALL_NAME =
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RUBY_VERSION_NAME = $(RUBY_BASE_NAME)-$(ruby_version)
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RUBYW_BASE_NAME = rubyw
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RUBY_BASE_NAME = ruby
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arch = x86_64-darwin18
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sitearch = $(arch)
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ruby_version = 2.5.0
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ruby = $(bindir)/$(RUBY_BASE_NAME)
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RUBY = $(ruby)
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ruby_headers = $(hdrdir)/ruby.h $(hdrdir)/ruby/backward.h $(hdrdir)/ruby/ruby.h $(hdrdir)/ruby/defines.h $(hdrdir)/ruby/missing.h $(hdrdir)/ruby/intern.h $(hdrdir)/ruby/st.h $(hdrdir)/ruby/subst.h $(arch_hdrdir)/ruby/config.h
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RM = rm -f
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RM_RF = $(RUBY) -run -e rm -- -rf
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RMDIRS = rmdir -p
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MAKEDIRS = /usr/local/opt/coreutils/bin/gmkdir -p
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INSTALL = /usr/local/opt/coreutils/bin/ginstall -c
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INSTALL_PROG = $(INSTALL) -m 0755
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INSTALL_DATA = $(INSTALL) -m 644
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COPY = cp
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TOUCH = exit >
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#### End of system configuration section. ####
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preload =
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libpath = . $(libdir) /usr/local/opt/libyaml/lib /usr/local/opt/libksba/lib /usr/local/opt/readline/lib /usr/local/opt/zlib/lib /usr/local/opt/openssl@1.1/lib
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LIBPATH = -L. -L$(libdir) -L/usr/local/opt/libyaml/lib -L/usr/local/opt/libksba/lib -L/usr/local/opt/readline/lib -L/usr/local/opt/zlib/lib -L/usr/local/opt/openssl@1.1/lib
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DEFFILE =
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CLEANFILES = mkmf.log
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DISTCLEANFILES =
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DISTCLEANDIRS =
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extout =
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extout_prefix =
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target_prefix = /tarf_monte_carlo
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LOCAL_LIBS =
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LIBS = $(LIBRUBYARG_SHARED) -lpthread -ldl -lobjc
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ORIG_SRCS = tarf_monte_carlo (1).c tarf_monte_carlo.c
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SRCS = $(ORIG_SRCS)
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OBJS = tarf_monte_carlo (1).o tarf_monte_carlo.o
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HDRS =
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LOCAL_HDRS =
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TARGET = tarf_monte_carlo
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TARGET_NAME = tarf_monte_carlo
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TARGET_ENTRY = Init_$(TARGET_NAME)
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DLLIB = $(TARGET).bundle
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EXTSTATIC =
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STATIC_LIB =
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TIMESTAMP_DIR = .
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BINDIR = $(bindir)
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RUBYCOMMONDIR = $(sitedir)$(target_prefix)
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RUBYLIBDIR = $(sitelibdir)$(target_prefix)
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RUBYARCHDIR = $(sitearchdir)$(target_prefix)
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HDRDIR = $(rubyhdrdir)/ruby$(target_prefix)
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ARCHHDRDIR = $(rubyhdrdir)/$(arch)/ruby$(target_prefix)
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TARGET_SO_DIR =
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TARGET_SO = $(TARGET_SO_DIR)$(DLLIB)
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CLEANLIBS = $(TARGET_SO)
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CLEANOBJS = *.o *.bak
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all: $(DLLIB)
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static: $(STATIC_LIB)
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.PHONY: all install static install-so install-rb
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.PHONY: clean clean-so clean-static clean-rb
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clean-static::
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clean-rb-default::
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clean-rb::
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clean-so::
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clean: clean-so clean-static clean-rb-default clean-rb
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-$(Q)$(RM) $(CLEANLIBS) $(CLEANOBJS) $(CLEANFILES) .*.time
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distclean-rb-default::
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distclean-rb::
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distclean-so::
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distclean-static::
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distclean: clean distclean-so distclean-static distclean-rb-default distclean-rb
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-$(Q)$(RM) Makefile $(RUBY_EXTCONF_H) conftest.* mkmf.log
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-$(Q)$(RM) core ruby$(EXEEXT) *~ $(DISTCLEANFILES)
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-$(Q)$(RMDIRS) $(DISTCLEANDIRS) 2> /dev/null || true
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realclean: distclean
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install: install-so install-rb
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install-so: $(DLLIB) $(TIMESTAMP_DIR)/.sitearchdir.-.tarf_monte_carlo.time
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$(INSTALL_PROG) $(DLLIB) $(RUBYARCHDIR)
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clean-static::
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-$(Q)$(RM) $(STATIC_LIB)
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install-rb: pre-install-rb do-install-rb install-rb-default
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install-rb-default: pre-install-rb-default do-install-rb-default
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pre-install-rb: Makefile
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pre-install-rb-default: Makefile
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do-install-rb:
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do-install-rb-default:
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pre-install-rb-default:
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@$(NULLCMD)
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$(TIMESTAMP_DIR)/.sitearchdir.-.tarf_monte_carlo.time:
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$(Q) $(MAKEDIRS) $(@D) $(RUBYARCHDIR)
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$(Q) $(TOUCH) $@
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site-install: site-install-so site-install-rb
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site-install-so: install-so
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site-install-rb: install-rb
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.SUFFIXES: .c .m .cc .mm .cxx .cpp .o .S
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.cc.o:
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$(ECHO) compiling $(<)
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$(Q) $(CXX) $(INCFLAGS) $(CPPFLAGS) $(CXXFLAGS) $(COUTFLAG)$@ -c $(CSRCFLAG)$<
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.cc.S:
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$(ECHO) translating $(<)
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$(Q) $(CXX) $(INCFLAGS) $(CPPFLAGS) $(CXXFLAGS) $(COUTFLAG)$@ -S $(CSRCFLAG)$<
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.mm.o:
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$(ECHO) compiling $(<)
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$(Q) $(CXX) $(INCFLAGS) $(CPPFLAGS) $(CXXFLAGS) $(COUTFLAG)$@ -c $(CSRCFLAG)$<
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.mm.S:
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$(ECHO) translating $(<)
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$(Q) $(CXX) $(INCFLAGS) $(CPPFLAGS) $(CXXFLAGS) $(COUTFLAG)$@ -S $(CSRCFLAG)$<
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.cxx.o:
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$(ECHO) compiling $(<)
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$(Q) $(CXX) $(INCFLAGS) $(CPPFLAGS) $(CXXFLAGS) $(COUTFLAG)$@ -c $(CSRCFLAG)$<
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.cxx.S:
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$(ECHO) translating $(<)
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$(Q) $(CXX) $(INCFLAGS) $(CPPFLAGS) $(CXXFLAGS) $(COUTFLAG)$@ -S $(CSRCFLAG)$<
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.cpp.o:
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$(ECHO) compiling $(<)
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$(Q) $(CXX) $(INCFLAGS) $(CPPFLAGS) $(CXXFLAGS) $(COUTFLAG)$@ -c $(CSRCFLAG)$<
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.cpp.S:
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$(ECHO) translating $(<)
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$(Q) $(CXX) $(INCFLAGS) $(CPPFLAGS) $(CXXFLAGS) $(COUTFLAG)$@ -S $(CSRCFLAG)$<
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.c.o:
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$(ECHO) compiling $(<)
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$(Q) $(CC) $(INCFLAGS) $(CPPFLAGS) $(CFLAGS) $(COUTFLAG)$@ -c $(CSRCFLAG)$<
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.c.S:
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$(ECHO) translating $(<)
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$(Q) $(CC) $(INCFLAGS) $(CPPFLAGS) $(CFLAGS) $(COUTFLAG)$@ -S $(CSRCFLAG)$<
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.m.o:
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$(ECHO) compiling $(<)
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$(Q) $(CC) $(INCFLAGS) $(CPPFLAGS) $(CFLAGS) $(COUTFLAG)$@ -c $(CSRCFLAG)$<
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.m.S:
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$(ECHO) translating $(<)
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+
$(Q) $(CC) $(INCFLAGS) $(CPPFLAGS) $(CFLAGS) $(COUTFLAG)$@ -S $(CSRCFLAG)$<
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+
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$(TARGET_SO): $(OBJS) Makefile
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$(ECHO) linking shared-object tarf_monte_carlo/$(DLLIB)
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-$(Q)$(RM) $(@)
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$(Q) $(LDSHARED) -o $@ $(OBJS) $(LIBPATH) $(DLDFLAGS) $(LOCAL_LIBS) $(LIBS)
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$(Q) $(POSTLINK)
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$(OBJS): $(HDRS) $(ruby_headers)
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@@ -41,6 +41,9 @@
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41
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#define COLLAR_LEGS 11
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#define DOUBLE_STRIKE_LEGS 12
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43
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+
#define FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE 13
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+
#define FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE 14
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46
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+
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#define DATAPOINTS 200 // data for plotting
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#define INTERVAL 50
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#define SIM_LIMIT 196 // 196 + 4 = 200 simulations nedded
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@@ -99,6 +102,9 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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double S = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("spot_rate")) );
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int Ko_compare_mult = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("multiplier")) );
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int ConvertNotional = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("convert_notional")) );
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+
int dir_sign = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("direction_sign")) );
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+
int dir2_sign = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("direction2_sign")) );
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+
int cp_sign = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("callput_sign")) );
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// assign leg specific attributes
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double *pvs_pos = ( double* ) malloc( SCount * sizeof(double) );
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@@ -114,6 +120,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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double *CFs_array = ( double* ) malloc( NL * sizeof(double) );
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115
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double *LSts_array = ( double* ) malloc( NL * sizeof(double) );
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double *USts_array = ( double* ) malloc( NL * sizeof(double) );
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123
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+
double *TempNs_array = ( double* ) malloc( NL * sizeof(double) );
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+
double *Barrier_array = ( double* ) malloc( NL * sizeof(double) );
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125
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VALUE Ls = rb_hash_aref(MCInputs, rb_str_new2("leverage_ratios") );
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VALUE Ts = rb_hash_aref(MCInputs, rb_str_new2("expiration_times") );
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@@ -126,6 +134,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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VALUE CFs = rb_hash_aref(MCInputs, rb_str_new2("caps") );
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VALUE LSts = rb_hash_aref(MCInputs, rb_str_new2("lower_strikes") );
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VALUE USts = rb_hash_aref(MCInputs, rb_str_new2("upper_strikes") );
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+
VALUE Brs = rb_hash_aref(MCInputs, rb_str_new2("barriers") );
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138
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for (leg = 0; leg < NL; ++leg) {
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Ls_array[leg] = NUM2DBL( rb_ary_entry(Ls, leg) );
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@@ -135,6 +144,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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135
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|
vs_array[leg] = NUM2DBL( rb_ary_entry(vs, leg) );
|
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136
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bs_array[leg] = NUM2DBL( rb_ary_entry(bs, leg) );
|
|
137
146
|
DFs_array[leg] = NUM2DBL( rb_ary_entry(DFs, leg) );
|
|
147
|
+
TempNs_array[leg] = *(Ns_array + leg);
|
|
138
148
|
}
|
|
139
149
|
// extra tarf structures
|
|
140
150
|
if ( KType == PIVOT_POINTS || KType == PIVOT_ABSOLUTE || KType == PIVOT_LEGS ) {
|
|
@@ -151,6 +161,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
|
151
161
|
LSts_array[leg] = NUM2DBL( rb_ary_entry(LSts, leg) );
|
|
152
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|
USts_array[leg] = NUM2DBL( rb_ary_entry(USts, leg) );
|
|
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|
}
|
|
164
|
+
} else if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE) {
|
|
165
|
+
for (leg = 0; leg < NL; ++leg) {
|
|
166
|
+
Barrier_array[leg] = NUM2DBL( rb_ary_entry(Brs, leg) );
|
|
167
|
+
}
|
|
154
168
|
}
|
|
155
169
|
|
|
156
170
|
//
|
|
@@ -182,6 +196,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
|
182
196
|
sim_dash_neg[leg] = 0.0;
|
|
183
197
|
}
|
|
184
198
|
|
|
199
|
+
int knockedLeg = -1;
|
|
200
|
+
int knockedLeg_dash = -1;
|
|
185
201
|
// legs loop start
|
|
186
202
|
for( leg = 0; leg < NL; ++leg ) {
|
|
187
203
|
double eps, eps_dash, drift, vSqrdt, profit_loss, profit_loss_dash;
|
|
@@ -198,8 +214,28 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
|
198
214
|
Spot = Spot * exp( drift + vSqrdt * eps );
|
|
199
215
|
Spot_dash = Spot_dash * exp( drift + vSqrdt * eps_dash );
|
|
200
216
|
|
|
201
|
-
|
|
202
|
-
|
|
217
|
+
if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
|
|
218
|
+
profit_loss = 0;
|
|
219
|
+
profit_loss_dash = 0;
|
|
220
|
+
|
|
221
|
+
double knockin = (Spot - *(Barrier_array + leg)) * dir_sign * cp_sign * dir2_sign;
|
|
222
|
+
double knockin_dash = (Spot_dash - *(Barrier_array + leg)) * dir_sign * cp_sign * dir2_sign;
|
|
223
|
+
|
|
224
|
+
if(knockedLeg == -1 && knockin > 0){
|
|
225
|
+
knockedLeg = leg;
|
|
226
|
+
}
|
|
227
|
+
if(knockedLeg == -1 && knockin < 0 && KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
|
|
228
|
+
profit_loss = dir_sign * dir2_sign * cp_sign * ( Spot - ( *( Xs_array + leg ) ) );
|
|
229
|
+
}
|
|
230
|
+
|
|
231
|
+
if(knockedLeg_dash == -1 && knockin_dash > 0){
|
|
232
|
+
knockedLeg_dash = leg;
|
|
233
|
+
}
|
|
234
|
+
if(knockedLeg_dash == -1 && knockin_dash < 0 && KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
|
|
235
|
+
profit_loss = dir_sign * dir2_sign * cp_sign * ( Spot_dash - ( *( Xs_array + leg ) ) );
|
|
236
|
+
}
|
|
237
|
+
|
|
238
|
+
} else if ( KType == DOUBLE_STRIKE_POINTS || KType == DOUBLE_STRIKE_ABSOLUTE || KType == DOUBLE_STRIKE_LEGS ) {
|
|
203
239
|
if ( Spot < *( LSts_array + leg ) ) {
|
|
204
240
|
profit_loss = Spot - (*( LSts_array + leg ));
|
|
205
241
|
} else if(Spot > *( USts_array + leg )){
|
|
@@ -211,10 +247,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
|
211
247
|
}
|
|
212
248
|
|
|
213
249
|
if (ConvertNotional == 1){
|
|
214
|
-
if(Spot < *( Ps_array + leg )){
|
|
215
|
-
Ns_array[leg] =
|
|
250
|
+
if(Spot < *( Ps_array + leg ) || Spot_dash < *( Ps_array + leg )){
|
|
251
|
+
Ns_array[leg] = *(TempNs_array + leg) / *( LSts_array + leg );
|
|
216
252
|
} else {
|
|
217
|
-
Ns_array[leg] =
|
|
253
|
+
Ns_array[leg] = *(TempNs_array + leg) / *( USts_array + leg );
|
|
218
254
|
}
|
|
219
255
|
}
|
|
220
256
|
|
|
@@ -246,6 +282,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
|
246
282
|
profit_loss = 0.0;
|
|
247
283
|
} else if(Spot <= *( CFs_array + leg )){
|
|
248
284
|
profit_loss = Spot - (*( CFs_array + leg ));
|
|
285
|
+
|
|
286
|
+
if (ConvertNotional == 1){
|
|
287
|
+
Ns_array[leg] = *(TempNs_array + leg) / *( CFs_array + leg );
|
|
288
|
+
}
|
|
249
289
|
} else {
|
|
250
290
|
profit_loss = Spot - (*( Xs_array + leg ));
|
|
251
291
|
}
|
|
@@ -254,6 +294,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
|
254
294
|
profit_loss_dash = 0.0;
|
|
255
295
|
} else if(Spot_dash <= *( CFs_array + leg )){
|
|
256
296
|
profit_loss_dash = Spot_dash - (*( CFs_array + leg ));
|
|
297
|
+
|
|
298
|
+
if (ConvertNotional == 1){
|
|
299
|
+
Ns_array[leg] = *(TempNs_array + leg) / *( CFs_array + leg );
|
|
300
|
+
}
|
|
257
301
|
} else {
|
|
258
302
|
profit_loss_dash = Spot_dash - (*( Xs_array + leg ));
|
|
259
303
|
}
|
|
@@ -281,6 +325,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
|
281
325
|
profit_loss = 0.0;
|
|
282
326
|
} else if(Spot >= *( CFs_array + leg )){
|
|
283
327
|
profit_loss = ( ( *( CFs_array + leg ) ) - Spot );
|
|
328
|
+
|
|
329
|
+
if (ConvertNotional == 1){
|
|
330
|
+
Ns_array[leg] = *(TempNs_array + leg) / *( CFs_array + leg );
|
|
331
|
+
}
|
|
284
332
|
} else {
|
|
285
333
|
profit_loss = ( ( *( Xs_array + leg ) ) - Spot );
|
|
286
334
|
}
|
|
@@ -289,6 +337,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
|
289
337
|
profit_loss_dash = 0.0;
|
|
290
338
|
} else if(Spot_dash >= *( CFs_array + leg )){
|
|
291
339
|
profit_loss_dash = ( ( *( CFs_array + leg ) ) - Spot_dash );
|
|
340
|
+
|
|
341
|
+
if (ConvertNotional == 1){
|
|
342
|
+
Ns_array[leg] = *(TempNs_array + leg) / *( CFs_array + leg );
|
|
343
|
+
}
|
|
292
344
|
} else {
|
|
293
345
|
profit_loss_dash = ( ( *( Xs_array + leg ) ) - Spot_dash );
|
|
294
346
|
}
|
|
@@ -322,7 +374,29 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
|
322
374
|
// legs loop end
|
|
323
375
|
// start from the Knock value
|
|
324
376
|
double ko_so_far = K, ko_so_far_dash = K;
|
|
325
|
-
if(
|
|
377
|
+
if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE){
|
|
378
|
+
if(knockedLeg >= 0){
|
|
379
|
+
sim_pos[knockedLeg] = dir_sign * dir2_sign * cp_sign * ( Spot - ( *( Xs_array + (knockedLeg) ) ) ) * ( *( Ns_array + knockedLeg ) );
|
|
380
|
+
}
|
|
381
|
+
if(knockedLeg_dash >= 0 ){
|
|
382
|
+
sim_dash_pos[knockedLeg_dash] = dir_sign * dir2_sign * cp_sign * ( Spot_dash - ( *( Xs_array + (knockedLeg_dash) ) ) ) * ( *( Ns_array + knockedLeg_dash ) );
|
|
383
|
+
}
|
|
384
|
+
} else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
|
|
385
|
+
int brk_flg = 1;
|
|
386
|
+
int brk_flg_dash = 1;
|
|
387
|
+
for( leg = 0; leg < NL; ++leg ) {
|
|
388
|
+
if((leg != knockedLeg) && brk_flg){
|
|
389
|
+
sim_pos[leg] = sim[leg] * ( *( Ns_array + leg ) );
|
|
390
|
+
}else{
|
|
391
|
+
brk_flg = 0;
|
|
392
|
+
}
|
|
393
|
+
if((leg != knockedLeg_dash) && brk_flg_dash){
|
|
394
|
+
sim_dash_pos[leg] = sim[leg] * ( *( Ns_array + leg ) );
|
|
395
|
+
}else{
|
|
396
|
+
brk_flg_dash = 0;
|
|
397
|
+
}
|
|
398
|
+
}
|
|
399
|
+
} else if( KType == ABSOLUTE || KType == PIVOT_ABSOLUTE || KType == COLLAR_ABSOLUTE || KType == DOUBLE_STRIKE_ABSOLUTE ) {
|
|
326
400
|
for( leg = 0; leg < NL; ++leg ) {
|
|
327
401
|
// simulation normal
|
|
328
402
|
if( ko_so_far > 0.0 ) {
|
|
@@ -365,6 +439,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
|
365
439
|
} else if( KType == POINTS || KType == PIVOT_POINTS || KType == COLLAR_POINTS || KType == DOUBLE_STRIKE_POINTS ) {
|
|
366
440
|
for( leg = 0; leg < NL; ++leg ) {
|
|
367
441
|
// simulation normal
|
|
442
|
+
// rb_p(DBL2NUM(*(Ns_array + leg )));
|
|
368
443
|
if ( ko_so_far > 0.0 ) {
|
|
369
444
|
if( sim[leg] >= 0.0 ) {
|
|
370
445
|
// knock out condition
|
metadata
CHANGED
|
@@ -1,14 +1,14 @@
|
|
|
1
1
|
--- !ruby/object:Gem::Specification
|
|
2
2
|
name: tarf_monte_carlo
|
|
3
3
|
version: !ruby/object:Gem::Version
|
|
4
|
-
version: '3.
|
|
4
|
+
version: '3.26'
|
|
5
5
|
platform: ruby
|
|
6
6
|
authors:
|
|
7
7
|
- Vivek Routh
|
|
8
8
|
autorequire:
|
|
9
9
|
bindir: exe
|
|
10
10
|
cert_chain: []
|
|
11
|
-
date: 2020-
|
|
11
|
+
date: 2020-10-02 00:00:00.000000000 Z
|
|
12
12
|
dependencies:
|
|
13
13
|
- !ruby/object:Gem::Dependency
|
|
14
14
|
name: bundler
|
|
@@ -114,6 +114,7 @@ files:
|
|
|
114
114
|
- Rakefile
|
|
115
115
|
- bin/console
|
|
116
116
|
- bin/setup
|
|
117
|
+
- ext/tarf_monte_carlo/Makefile
|
|
117
118
|
- ext/tarf_monte_carlo/extconf.rb
|
|
118
119
|
- ext/tarf_monte_carlo/tarf_monte_carlo.c
|
|
119
120
|
- lib/.DS_Store
|