tarf_monte_carlo 3.28 → 3.33

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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+  metadata.gz: f01c36b2c17eecf4dc3dae2cabe4e7eaecc613f70813de0f80bcfee81abd8005
+  data.tar.gz: e914b80b2b9c54f40e117aa65ada3caac54bfcc603114292d712b1d7eeb20e68
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -90,11 +90,11 @@ double european_payoff(double strike, double spot, int cp_sign, int dir_sign, do
 }
 
 double get_equivalent_notional(int conversion_sign, double notional, float rate){
-  return (conversion_sign == 1) ? (notional / rate) : notional
+  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
+  return (conversion_sign == 1) ? (rebate * rate) : rebate;
 }
 
 // main method for running monte carlo simulation from sidekiq worker/outside method
@@ -122,6 +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) );
@@ -191,6 +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[SCount];
   metrics = ( double** ) malloc( DATAPOINTS * sizeof(double*) );
   for( metric = 0; metric < DATAPOINTS; metric++ ) {
     metrics[metric] = ( double* ) malloc( NL * sizeof(double) );
@@ -203,6 +206,9 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   // run simulations loop
   for( sim_count = 0; sim_count < SCount; sim_count += 2 ) {
     // initial spot rate for each iteration would be current spot rate
+    data[sim_count] = 0;
+    data[sim_count + 1] = 0;
+
     double Spot = S, Spot_dash = S;
     double sim[NL], sim_pos[NL], sim_neg[NL], sim_dash[NL], sim_dash_pos[NL], sim_dash_neg[NL];
 
@@ -241,10 +247,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         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_dash == -1 && knockin_dash > 0){
+        if(knockedLeg_dash == -1 && knockin_dash >= 0){
           knockedLeg_dash = leg;
         }
       } else if ( KType == DOUBLE_STRIKE_POINTS || KType == DOUBLE_STRIKE_ABSOLUTE || KType == DOUBLE_STRIKE_LEGS ) {
@@ -389,28 +395,30 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE){
       if(knockedLeg >= 0){
         double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg ) ), sim[NL-1]);
+        data[sim_count] = equivalent_notional;
         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]);
+        sim_pos[NL-1] = get_equivalent_rebate(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]);
+        data[sim_count + 1] = equivalent_notional;
         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]);
+        sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1]);
       }
     } else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
       if(knockedLeg >= 0){
-        sim_pos[knockedLeg] = get_equivalent_rebate(conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg]);
+        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(conversion_sign, ( *( Rebate_array + knockedLeg_dash ) ), sim[knockedLeg_dash]);
+        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]);
@@ -582,14 +590,14 @@ 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++) {
-    VALUE leg_metrics = rb_ary_new();
+  for(metric = 0; metric < SCount; metric++) {
+    // VALUE leg_metrics = rb_ary_new();
 
-    for(leg = 0; leg < NL; leg++) {
-      rb_ary_push( leg_metrics, DBL2NUM( metrics[metric][leg] ) );
-    }
+    // for(leg = 0; leg < NL; leg++) {
+    //   rb_ary_push( leg_metrics, DBL2NUM( metrics[metric][leg] ) );
+    // }
 
-    rb_ary_push(final_metrics, leg_metrics);
+    rb_ary_push(final_metrics, data[metric]);
   }
 
   // rb_p(rb_str_new2("Generating output hash"));

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.28"
+  VERSION = "3.33"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.28'
+  version: '3.33'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-10-03 00:00:00.000000000 Z
+date: 2020-10-05 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler