tarf_monte_carlo 3.25 → 3.26

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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+  data.tar.gz: 6c76e80342cc906a4ad39665a8cc6ffe460b473e3fd2985bf3df571a6252f1d4
 SHA512:
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data/ext/tarf_monte_carlo/Makefile

@@ -0,0 +1,264 @@
+
+SHELL = /bin/sh
+
+# V=0 quiet, V=1 verbose.  other values don't work.
+V = 0
+Q1 = $(V:1=)
+Q = $(Q1:0=@)
+ECHO1 = $(V:1=@ :)
+ECHO = $(ECHO1:0=@ echo)
+NULLCMD = :
+
+#### Start of system configuration section. ####
+
+srcdir = .
+topdir = /Users/vivektripathi/.rvm/rubies/ruby-2.5.1/include/ruby-2.5.0
+hdrdir = $(topdir)
+arch_hdrdir = /Users/vivektripathi/.rvm/rubies/ruby-2.5.1/include/ruby-2.5.0/x86_64-darwin18
+PATH_SEPARATOR = :
+VPATH = $(srcdir):$(arch_hdrdir)/ruby:$(hdrdir)/ruby
+prefix = $(DESTDIR)/Users/vivektripathi/.rvm/rubies/ruby-2.5.1
+rubysitearchprefix = $(rubylibprefix)/$(sitearch)
+rubyarchprefix = $(rubylibprefix)/$(arch)
+rubylibprefix = $(libdir)/$(RUBY_BASE_NAME)
+exec_prefix = $(prefix)
+vendorarchhdrdir = $(vendorhdrdir)/$(sitearch)
+sitearchhdrdir = $(sitehdrdir)/$(sitearch)
+rubyarchhdrdir = $(rubyhdrdir)/$(arch)
+vendorhdrdir = $(rubyhdrdir)/vendor_ruby
+sitehdrdir = $(rubyhdrdir)/site_ruby
+rubyhdrdir = $(includedir)/$(RUBY_VERSION_NAME)
+vendorarchdir = $(vendorlibdir)/$(sitearch)
+vendorlibdir = $(vendordir)/$(ruby_version)
+vendordir = $(rubylibprefix)/vendor_ruby
+sitearchdir = $(sitelibdir)/$(sitearch)
+sitelibdir = $(sitedir)/$(ruby_version)
+sitedir = $(rubylibprefix)/site_ruby
+rubyarchdir = $(rubylibdir)/$(arch)
+rubylibdir = $(rubylibprefix)/$(ruby_version)
+sitearchincludedir = $(includedir)/$(sitearch)
+archincludedir = $(includedir)/$(arch)
+sitearchlibdir = $(libdir)/$(sitearch)
+archlibdir = $(libdir)/$(arch)
+ridir = $(datarootdir)/$(RI_BASE_NAME)
+mandir = $(datarootdir)/man
+localedir = $(datarootdir)/locale
+libdir = $(exec_prefix)/lib
+psdir = $(docdir)
+pdfdir = $(docdir)
+dvidir = $(docdir)
+htmldir = $(docdir)
+infodir = $(datarootdir)/info
+docdir = $(datarootdir)/doc/$(PACKAGE)
+oldincludedir = $(SDKROOT)/usr/include
+includedir = $(prefix)/include
+localstatedir = $(prefix)/var
+sharedstatedir = $(prefix)/com
+sysconfdir = $(prefix)/etc
+datadir = $(datarootdir)
+datarootdir = $(prefix)/share
+libexecdir = $(exec_prefix)/libexec
+sbindir = $(exec_prefix)/sbin
+bindir = $(exec_prefix)/bin
+archdir = $(rubyarchdir)
+
+
+CC = gcc
+CXX = g++
+LIBRUBY = $(LIBRUBY_SO)
+LIBRUBY_A = lib$(RUBY_SO_NAME)-static.a
+LIBRUBYARG_SHARED = -l$(RUBY_SO_NAME)
+LIBRUBYARG_STATIC = -l$(RUBY_SO_NAME)-static -framework Foundation
+empty =
+OUTFLAG = -o $(empty)
+COUTFLAG = -o $(empty)
+CSRCFLAG = $(empty)
+
+RUBY_EXTCONF_H = 
+cflags   = $(optflags) $(debugflags) $(warnflags)
+cxxflags = $(optflags) $(debugflags) $(warnflags)
+optflags = -O3
+debugflags = -ggdb3
+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
+CCDLFLAGS = -fno-common
+CFLAGS   = $(CCDLFLAGS) $(cflags)  -fno-common -pipe $(ARCH_FLAG)
+INCFLAGS = -I. -I$(arch_hdrdir) -I$(hdrdir)/ruby/backward -I$(hdrdir) -I$(srcdir)
+DEFS     = 
+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)
+CXXFLAGS = $(CCDLFLAGS) $(cxxflags) $(ARCH_FLAG)
+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
+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 
+ARCH_FLAG = 
+DLDFLAGS = $(ldflags) $(dldflags) $(ARCH_FLAG)
+LDSHARED = $(CC) -dynamic -bundle
+LDSHAREDXX = $(CXX) -dynamic -bundle
+AR = libtool -static
+EXEEXT = 
+
+RUBY_INSTALL_NAME = $(RUBY_BASE_NAME)
+RUBY_SO_NAME = ruby.2.5.1
+RUBYW_INSTALL_NAME = 
+RUBY_VERSION_NAME = $(RUBY_BASE_NAME)-$(ruby_version)
+RUBYW_BASE_NAME = rubyw
+RUBY_BASE_NAME = ruby
+
+arch = x86_64-darwin18
+sitearch = $(arch)
+ruby_version = 2.5.0
+ruby = $(bindir)/$(RUBY_BASE_NAME)
+RUBY = $(ruby)
+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
+
+RM = rm -f
+RM_RF = $(RUBY) -run -e rm -- -rf
+RMDIRS = rmdir -p
+MAKEDIRS = /usr/local/opt/coreutils/bin/gmkdir -p
+INSTALL = /usr/local/opt/coreutils/bin/ginstall -c
+INSTALL_PROG = $(INSTALL) -m 0755
+INSTALL_DATA = $(INSTALL) -m 644
+COPY = cp
+TOUCH = exit >
+
+#### End of system configuration section. ####
+
+preload = 
+libpath = . $(libdir) /usr/local/opt/libyaml/lib /usr/local/opt/libksba/lib /usr/local/opt/readline/lib /usr/local/opt/zlib/lib /usr/local/opt/openssl@1.1/lib
+LIBPATH =  -L. -L$(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
+DEFFILE = 
+
+CLEANFILES = mkmf.log
+DISTCLEANFILES = 
+DISTCLEANDIRS = 
+
+extout = 
+extout_prefix = 
+target_prefix = /tarf_monte_carlo
+LOCAL_LIBS = 
+LIBS = $(LIBRUBYARG_SHARED)  -lpthread -ldl -lobjc 
+ORIG_SRCS = tarf_monte_carlo (1).c tarf_monte_carlo.c
+SRCS = $(ORIG_SRCS) 
+OBJS = tarf_monte_carlo (1).o tarf_monte_carlo.o
+HDRS = 
+LOCAL_HDRS = 
+TARGET = tarf_monte_carlo
+TARGET_NAME = tarf_monte_carlo
+TARGET_ENTRY = Init_$(TARGET_NAME)
+DLLIB = $(TARGET).bundle
+EXTSTATIC = 
+STATIC_LIB = 
+
+TIMESTAMP_DIR = .
+BINDIR        = $(bindir)
+RUBYCOMMONDIR = $(sitedir)$(target_prefix)
+RUBYLIBDIR    = $(sitelibdir)$(target_prefix)
+RUBYARCHDIR   = $(sitearchdir)$(target_prefix)
+HDRDIR        = $(rubyhdrdir)/ruby$(target_prefix)
+ARCHHDRDIR    = $(rubyhdrdir)/$(arch)/ruby$(target_prefix)
+TARGET_SO_DIR =
+TARGET_SO     = $(TARGET_SO_DIR)$(DLLIB)
+CLEANLIBS     = $(TARGET_SO) 
+CLEANOBJS     = *.o  *.bak
+
+all:    $(DLLIB)
+static: $(STATIC_LIB)
+.PHONY: all install static install-so install-rb
+.PHONY: clean clean-so clean-static clean-rb
+
+clean-static::
+clean-rb-default::
+clean-rb::
+clean-so::
+clean: clean-so clean-static clean-rb-default clean-rb
+		-$(Q)$(RM) $(CLEANLIBS) $(CLEANOBJS) $(CLEANFILES) .*.time
+
+distclean-rb-default::
+distclean-rb::
+distclean-so::
+distclean-static::
+distclean: clean distclean-so distclean-static distclean-rb-default distclean-rb
+		-$(Q)$(RM) Makefile $(RUBY_EXTCONF_H) conftest.* mkmf.log
+		-$(Q)$(RM) core ruby$(EXEEXT) *~ $(DISTCLEANFILES)
+		-$(Q)$(RMDIRS) $(DISTCLEANDIRS) 2> /dev/null || true
+
+realclean: distclean
+install: install-so install-rb
+
+install-so: $(DLLIB) $(TIMESTAMP_DIR)/.sitearchdir.-.tarf_monte_carlo.time
+	$(INSTALL_PROG) $(DLLIB) $(RUBYARCHDIR)
+clean-static::
+	-$(Q)$(RM) $(STATIC_LIB)
+install-rb: pre-install-rb do-install-rb install-rb-default
+install-rb-default: pre-install-rb-default do-install-rb-default
+pre-install-rb: Makefile
+pre-install-rb-default: Makefile
+do-install-rb:
+do-install-rb-default:
+pre-install-rb-default:
+	@$(NULLCMD)
+$(TIMESTAMP_DIR)/.sitearchdir.-.tarf_monte_carlo.time:
+	$(Q) $(MAKEDIRS) $(@D) $(RUBYARCHDIR)
+	$(Q) $(TOUCH) $@
+
+site-install: site-install-so site-install-rb
+site-install-so: install-so
+site-install-rb: install-rb
+
+.SUFFIXES: .c .m .cc .mm .cxx .cpp .o .S
+
+.cc.o:
+	$(ECHO) compiling $(<)
+	$(Q) $(CXX) $(INCFLAGS) $(CPPFLAGS) $(CXXFLAGS) $(COUTFLAG)$@ -c $(CSRCFLAG)$<
+
+.cc.S:
+	$(ECHO) translating $(<)
+	$(Q) $(CXX) $(INCFLAGS) $(CPPFLAGS) $(CXXFLAGS) $(COUTFLAG)$@ -S $(CSRCFLAG)$<
+
+.mm.o:
+	$(ECHO) compiling $(<)
+	$(Q) $(CXX) $(INCFLAGS) $(CPPFLAGS) $(CXXFLAGS) $(COUTFLAG)$@ -c $(CSRCFLAG)$<
+
+.mm.S:
+	$(ECHO) translating $(<)
+	$(Q) $(CXX) $(INCFLAGS) $(CPPFLAGS) $(CXXFLAGS) $(COUTFLAG)$@ -S $(CSRCFLAG)$<
+
+.cxx.o:
+	$(ECHO) compiling $(<)
+	$(Q) $(CXX) $(INCFLAGS) $(CPPFLAGS) $(CXXFLAGS) $(COUTFLAG)$@ -c $(CSRCFLAG)$<
+
+.cxx.S:
+	$(ECHO) translating $(<)
+	$(Q) $(CXX) $(INCFLAGS) $(CPPFLAGS) $(CXXFLAGS) $(COUTFLAG)$@ -S $(CSRCFLAG)$<
+
+.cpp.o:
+	$(ECHO) compiling $(<)
+	$(Q) $(CXX) $(INCFLAGS) $(CPPFLAGS) $(CXXFLAGS) $(COUTFLAG)$@ -c $(CSRCFLAG)$<
+
+.cpp.S:
+	$(ECHO) translating $(<)
+	$(Q) $(CXX) $(INCFLAGS) $(CPPFLAGS) $(CXXFLAGS) $(COUTFLAG)$@ -S $(CSRCFLAG)$<
+
+.c.o:
+	$(ECHO) compiling $(<)
+	$(Q) $(CC) $(INCFLAGS) $(CPPFLAGS) $(CFLAGS) $(COUTFLAG)$@ -c $(CSRCFLAG)$<
+
+.c.S:
+	$(ECHO) translating $(<)
+	$(Q) $(CC) $(INCFLAGS) $(CPPFLAGS) $(CFLAGS) $(COUTFLAG)$@ -S $(CSRCFLAG)$<
+
+.m.o:
+	$(ECHO) compiling $(<)
+	$(Q) $(CC) $(INCFLAGS) $(CPPFLAGS) $(CFLAGS) $(COUTFLAG)$@ -c $(CSRCFLAG)$<
+
+.m.S:
+	$(ECHO) translating $(<)
+	$(Q) $(CC) $(INCFLAGS) $(CPPFLAGS) $(CFLAGS) $(COUTFLAG)$@ -S $(CSRCFLAG)$<
+
+$(TARGET_SO): $(OBJS) Makefile
+	$(ECHO) linking shared-object tarf_monte_carlo/$(DLLIB)
+	-$(Q)$(RM) $(@)
+	$(Q) $(LDSHARED) -o $@ $(OBJS) $(LIBPATH) $(DLDFLAGS) $(LOCAL_LIBS) $(LIBS)
+	$(Q) $(POSTLINK)
+
+
+
+$(OBJS): $(HDRS) $(ruby_headers)

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -41,6 +41,9 @@
 #define COLLAR_LEGS 11
 #define DOUBLE_STRIKE_LEGS 12
 
+#define FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE 13
+#define FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE 14
+
 #define DATAPOINTS 200 // data for plotting
 #define INTERVAL 50
 #define SIM_LIMIT 196 // 196 + 4 = 200 simulations nedded
@@ -99,6 +102,9 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   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")) );
+  int dir_sign          = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("direction_sign")) );
+  int dir2_sign         = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("direction2_sign")) );
+  int cp_sign           = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("callput_sign")) );
 
   // assign leg specific attributes
   double *pvs_pos     = ( double* ) malloc( SCount * sizeof(double) );
@@ -115,6 +121,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   double *LSts_array  = ( double* ) malloc( NL * sizeof(double) );
   double *USts_array  = ( double* ) malloc( NL * sizeof(double) );
   double *TempNs_array = ( double* ) malloc( NL * sizeof(double) );
+  double *Barrier_array = ( double* ) malloc( NL * sizeof(double) );
 
   VALUE Ls = rb_hash_aref(MCInputs, rb_str_new2("leverage_ratios") );
   VALUE Ts = rb_hash_aref(MCInputs, rb_str_new2("expiration_times") );
@@ -127,6 +134,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   VALUE CFs = rb_hash_aref(MCInputs, rb_str_new2("caps") );
   VALUE LSts = rb_hash_aref(MCInputs, rb_str_new2("lower_strikes") );
   VALUE USts = rb_hash_aref(MCInputs, rb_str_new2("upper_strikes") );
+  VALUE Brs = rb_hash_aref(MCInputs, rb_str_new2("barriers") );
 
   for (leg = 0; leg < NL; ++leg) {
     Ls_array[leg] = NUM2DBL( rb_ary_entry(Ls, leg) );
@@ -153,6 +161,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       LSts_array[leg] = NUM2DBL( rb_ary_entry(LSts, leg) );
       USts_array[leg] = NUM2DBL( rb_ary_entry(USts, leg) );
     }
+  } else if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE) {
+    for (leg = 0; leg < NL; ++leg) {
+      Barrier_array[leg] = NUM2DBL( rb_ary_entry(Brs, leg) );
+    }
   }
 
   //
@@ -184,6 +196,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       sim_dash_neg[leg] = 0.0;
     }
 
+    int knockedLeg = -1;
+    int knockedLeg_dash = -1;
     // legs loop start
     for( leg = 0; leg < NL; ++leg ) {
       double eps, eps_dash, drift, vSqrdt, profit_loss, profit_loss_dash;
@@ -200,8 +214,28 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       Spot = Spot * exp( drift + vSqrdt * eps );
       Spot_dash = Spot_dash * exp( drift + vSqrdt * eps_dash );
 
-      // Payoff of Dual strike points is independent of direction
-      if ( KType == DOUBLE_STRIKE_POINTS || KType == DOUBLE_STRIKE_ABSOLUTE || KType == DOUBLE_STRIKE_LEGS ) {
+      if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
+        profit_loss = 0;
+        profit_loss_dash = 0;
+
+        double knockin = (Spot - *(Barrier_array + leg)) * dir_sign * cp_sign * dir2_sign;
+        double knockin_dash = (Spot_dash - *(Barrier_array + leg)) * dir_sign * cp_sign * dir2_sign;
+
+        if(knockedLeg == -1 && knockin > 0){
+          knockedLeg = leg;
+        }
+        if(knockedLeg == -1 && knockin < 0 && KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
+          profit_loss = dir_sign * dir2_sign * cp_sign * ( Spot - ( *( Xs_array + leg ) ) );
+        }
+
+        if(knockedLeg_dash == -1 && knockin_dash > 0){
+          knockedLeg_dash = leg;
+        }
+        if(knockedLeg_dash == -1 && knockin_dash < 0 && KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
+          profit_loss = dir_sign * dir2_sign * cp_sign * ( Spot_dash - ( *( Xs_array + leg ) ) );
+        }
+
+      } else 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 )){
@@ -340,7 +374,29 @@ 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 || KType == PIVOT_ABSOLUTE || KType == COLLAR_ABSOLUTE || KType == DOUBLE_STRIKE_ABSOLUTE ) {
+    if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE){
+      if(knockedLeg >= 0){
+        sim_pos[knockedLeg] = dir_sign * dir2_sign * cp_sign * ( Spot - ( *( Xs_array + (knockedLeg) ) ) ) * ( *( Ns_array + knockedLeg ) );
+      }
+      if(knockedLeg_dash >= 0 ){
+        sim_dash_pos[knockedLeg_dash] = dir_sign * dir2_sign * cp_sign * ( Spot_dash - ( *( Xs_array + (knockedLeg_dash) ) ) ) * ( *( Ns_array + knockedLeg_dash ) );
+      }
+    } else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
+      int brk_flg = 1;
+      int brk_flg_dash = 1;
+      for( leg = 0; leg < NL; ++leg ) {
+        if((leg != knockedLeg) && brk_flg){
+          sim_pos[leg] = sim[leg] * ( *( Ns_array + leg ) );
+        }else{
+          brk_flg = 0;
+        }
+        if((leg != knockedLeg_dash) && brk_flg_dash){
+          sim_dash_pos[leg] = sim[leg] * ( *( Ns_array + leg ) );
+        }else{
+          brk_flg_dash = 0;
+        }
+      }
+    } else 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 ) {

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.25"
+  VERSION = "3.26"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.25'
+  version: '3.26'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-09-24 00:00:00.000000000 Z
+date: 2020-10-02 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
@@ -114,6 +114,7 @@ files:
 - Rakefile
 - bin/console
 - bin/setup
+- ext/tarf_monte_carlo/Makefile
 - ext/tarf_monte_carlo/extconf.rb
 - ext/tarf_monte_carlo/tarf_monte_carlo.c
 - lib/.DS_Store