tarf_monte_carlo 3.29 → 3.34

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
-  metadata.gz: f522654ff1db977c9473f222c2759823b5abfabec305a05f46808509a089e997
-  data.tar.gz: 9057078c47fe076d38ba905d9bef3e857c8afff6962c3cbdc3afb73b88f41807
+  metadata.gz: 6ba6dd94cb23ba87cba4dfe1247ff41902d8644efacbbbf1b712ea7d61cc8341
+  data.tar.gz: da934c46905408ad6bc80694e4b2644535078437fd347c8f986aa9eb71c777b0
 SHA512:
-  metadata.gz: dbe7c24227ce0280a09b0d055e1158f2585b6b46307065fa6d460ab8ed53b8a2423c398e2dd5ae6273249a0bfd10b0beb8abcedf4337597ffa2097940ed0efbd
-  data.tar.gz: 5f59b811c836dfb9b13cbafc7264651aad54a03a7420042543549e25548de72574a82274b54e1951d9dd9d3b763af0437ef95d35ff6b6fd29161ce355280fe2f
+  metadata.gz: b08cf5f89f3776766cb26d99fdad66b67f2783312ce9489f9ae934ffc359601261b80f9f0f9a2bbb19fd346f8230a3934ce6080ea0b4d755b3bbba34bbc7f1e2
+  data.tar.gz: b016ab0298d3041ab725d37a3a7aa74be2f8fbe33d510c2f6ef1dd55298d1d1209694234a227b028ed01d50009c112a15ebeaf5a07b2edce43e3e098bc01e23f

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -90,11 +90,13 @@ 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;
+  double eq = (conversion_sign == 1) ? (notional / rate) : notional;
+  return eq;
 }
 
 double get_equivalent_rebate(int conversion_sign, double rebate, float rate){
-  return (conversion_sign == 1) ? (rebate * rate) : rebate;
+  double eq = (conversion_sign == 1) ? (rebate * rate) : rebate;
+  return eq;
 }
 
 // main method for running monte carlo simulation from sidekiq worker/outside method
@@ -193,6 +195,7 @@ 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) );
@@ -205,6 +208,9 @@ 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];
 
@@ -243,10 +249,10 @@ 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 ) {
@@ -391,6 +397,7 @@ 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{
@@ -398,6 +405,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       }
       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{
@@ -584,14 +592,14 @@ 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 = "3.29"
+  VERSION = "3.34"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.29'
+  version: '3.34'
 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