tarf_monte_carlo 3.27 → 3.28

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
-  metadata.gz: 1f6e0254581e06a76f415afe43ce3869d9225f9dbe74986cbd1d77add2042ae6
-  data.tar.gz: 322411f7604d3fb8c34d966aed8a579f9b309fde2c7a24f7d10306a296cfc01a
+  metadata.gz: 61612dbfd673a328672091d8e64ec0ebd5251f0e1d0904938e4fcfa1e083ff84
+  data.tar.gz: 22c0461dc088058378702be27ad055f600f97eac6c5392008d9c5783ff15cea0
 SHA512:
-  metadata.gz: 12400b4041adbc26132b0d27524e48fb37b775b544161563647ff0c6d95aad019846d1a5bac2620436e7e5dd0d7a5943fbd1153e0b82993a3478909d11150b88
-  data.tar.gz: 94374cdfc84f4afc0f72f384ee068cd0ff4374f628714b452e5150048f1c8298c5cd5d141f4cd0d04cdffb80ce4a6f4330b7bdfb613d50083e24d626c606a2ad
+  metadata.gz: 0f3224cfb1535727083cb0223bf06eca402e43d50f4bd6eb3adccc7cf44cd47f5ddf16cf8882b57ca7ae564014f805cb8a3c5e3137edd967862e5b5653d9e0dd
+  data.tar.gz: 77e3ed4c219a3a797f1f03b8fa663eea5bb954672824a5154610fe1012fe25c1c0a9981881b272e678ae1579ea32ced99566539bb5f016255d1b06f8815d1a2e

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);
@@ -122,6 +139,7 @@ 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 +153,7 @@ 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 +182,8 @@ 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) );
     }
   }
 
@@ -215,26 +235,18 @@ 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){
           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){
-        //   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 ));
@@ -376,25 +388,33 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     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(conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1]);
+      }
+      if(knockedLeg_dash >= 0 ){
+        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(conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[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 ) );
-      // }
     } 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(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(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 ) {
@@ -603,4 +623,4 @@ 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 = "3.27"
+  VERSION = "3.28"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.27'
+  version: '3.28'
 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