tarf_monte_carlo 3.26 → 3.31

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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+  data.tar.gz: 56cf966863ed9d42802d78634b411aef7039eab87a74420d33a3dc429e5c1fa5
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -56,6 +56,9 @@ VALUE cTarfMonteCarlo = Qnil;
 
 // Prototype for the initialization method - Ruby calls this, not you
 void Init_tarf_monte_carlo();
+double european_payoff(double, double, int, int, double);
+double get_equivalent_notional(int, double, float);
+double get_equivalent_rebate(int, double, float);
 
 // Prototype for our methods - methods are prefixed by 'method_' here
 VALUE method_box_muller( VALUE );
@@ -80,6 +83,20 @@ VALUE method_box_muller( VALUE self ) {
   return DBL2NUM(eps);
 }
 
+double european_payoff(double strike, double spot, int cp_sign, int dir_sign, double notional){
+  double diff = (spot - strike) * cp_sign;
+  diff = diff > 0 ? diff : 0;
+  return (diff * notional * dir_sign);
+}
+
+double get_equivalent_notional(int conversion_sign, double notional, float rate){
+  return (conversion_sign == 1) ? (notional / rate) : notional;
+}
+
+double get_equivalent_rebate(int conversion_sign, double rebate, float rate){
+  return (conversion_sign == 1) ? (rebate * rate) : rebate;
+}
+
 // main method for running monte carlo simulation from sidekiq worker/outside method
 VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   VALUE MCInputs = rb_ary_shift(args);
@@ -105,6 +122,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   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")) );
+  int conversion_sign        = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("conversion_sign")) );
+  int rebate_conversion_sign = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("rebate_conversion_sign")) );
 
   // assign leg specific attributes
   double *pvs_pos     = ( double* ) malloc( SCount * sizeof(double) );
@@ -122,6 +141,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   double *USts_array  = ( double* ) malloc( NL * sizeof(double) );
   double *TempNs_array = ( double* ) malloc( NL * sizeof(double) );
   double *Barrier_array = ( double* ) malloc( NL * sizeof(double) );
+  double *Rebate_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") );
@@ -135,6 +155,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   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") );
+  VALUE Rbts = rb_hash_aref(MCInputs, rb_str_new2("rebates") );
 
   for (leg = 0; leg < NL; ++leg) {
     Ls_array[leg] = NUM2DBL( rb_ary_entry(Ls, leg) );
@@ -163,7 +184,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     }
   } 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) );
+      Barrier_array[leg]  = NUM2DBL( rb_ary_entry(Brs, leg) );
+      Rebate_array[leg]   = NUM2DBL( rb_ary_entry(Rbts, leg) );
     }
   }
 
@@ -171,6 +193,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   // first create a 1-D array of pointers, and then, for each array entry, create another 1-D array.
   //
   double **metrics;
+  double data[4][NL];
   metrics = ( double** ) malloc( DATAPOINTS * sizeof(double*) );
   for( metric = 0; metric < DATAPOINTS; metric++ ) {
     metrics[metric] = ( double* ) malloc( NL * sizeof(double) );
@@ -194,6 +217,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       sim_dash[leg] = 0.0;
       sim_dash_pos[leg] = 0.0;
       sim_dash_neg[leg] = 0.0;
+      data[0][leg] = 0.0;
+      data[1][leg] = 0.0;
+      data[2][leg] = 0.0;
+      data[3][leg] = 0.0;
     }
 
     int knockedLeg = -1;
@@ -215,26 +242,18 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       Spot_dash = Spot_dash * exp( drift + vSqrdt * eps_dash );
 
       if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
-        profit_loss = 0;
-        profit_loss_dash = 0;
+        profit_loss = Spot;
+        profit_loss_dash = Spot_dash;
 
-        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;
+        double knockin = (Spot - *(Barrier_array + leg)) * dir2_sign;
+        double knockin_dash = (Spot_dash - *(Barrier_array + leg)) * dir2_sign;
 
-        if(knockedLeg == -1 && knockin > 0){
+        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){
+        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 ));
@@ -355,6 +374,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       sim[leg] = profit_loss;
       sim_dash[leg] = profit_loss_dash;
 
+      data[0][leg] = sim[leg];
+      data[1][leg] = sim_dash[leg];
       //
       // Store spot and spot dash
       //
@@ -371,30 +392,42 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         Spot_dash = S;
       }
     }
+
     // legs loop end
     // start from the Knock value
     double ko_so_far = K, ko_so_far_dash = K;
     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 ) );
+        double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg ) ), sim[NL-1]);
+        sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
+      }
+      else{
+        sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1]);
       }
       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 ) );
+        double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
+        sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
+      else{
+        sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1]);
+      }
+
+      data[2][NL-1] = sim_pos[NL-1];
+      data[3][NL-1] = sim_dash_pos[NL-1];
     } 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;
-        }
+      if(knockedLeg >= 0){
+        sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg]);
+      }
+      else{
+        double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim[NL-1]);
+        sim_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
+      }
+      if(knockedLeg_dash >= 0 ){
+        sim_dash_pos[knockedLeg_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg_dash ) ), sim[knockedLeg_dash]);
+      }
+      else{
+        double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim_dash[NL-1]);
+        sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
     } else if( KType == ABSOLUTE || KType == PIVOT_ABSOLUTE || KType == COLLAR_ABSOLUTE || KType == DOUBLE_STRIKE_ABSOLUTE ) {
       for( leg = 0; leg < NL; ++leg ) {
@@ -562,11 +595,11 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   //
   // rb_p(rb_str_new2("Converting metrics"));
   VALUE final_metrics = rb_ary_new();
-  for(metric = 0; metric < DATAPOINTS; metric++) {
+  for(metric = 0; metric < 5; metric++) {
     VALUE leg_metrics = rb_ary_new();
 
     for(leg = 0; leg < NL; leg++) {
-      rb_ary_push( leg_metrics, DBL2NUM( metrics[metric][leg] ) );
+      rb_ary_push( leg_metrics, DBL2NUM( data[metric][leg] ) );
     }
 
     rb_ary_push(final_metrics, leg_metrics);
@@ -603,4 +636,4 @@ void Init_tarf_monte_carlo() {
   // void rb_define_singleton_method(VALUE klass, const char *name, VALUE (*func)(), int argc)
   rb_define_singleton_method(cTarfMonteCarlo, "box_muller", method_box_muller, 0);
   rb_define_singleton_method(cTarfMonteCarlo, "run_monte_carlo", method_run_monte_carlo, -2);
-}
+}

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.26"
+  VERSION = "3.31"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.26'
+  version: '3.31'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-10-02 00:00:00.000000000 Z
+date: 2020-10-03 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler