tarf_monte_carlo 3.33 → 3.38

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
-  metadata.gz: f01c36b2c17eecf4dc3dae2cabe4e7eaecc613f70813de0f80bcfee81abd8005
-  data.tar.gz: e914b80b2b9c54f40e117aa65ada3caac54bfcc603114292d712b1d7eeb20e68
+  metadata.gz: f6cb2b1cffe291ac211ef3517133affc4d62c2368f815a08a502a56650aee788
+  data.tar.gz: b17cfb2cce1123ab4c363d08a2eb214d14530d11249ed757c52e938bebacb38f
 SHA512:
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-  data.tar.gz: b1000f8b7e734018cf5db0cdc60c467cd8792c43e4adec6da70950b6f3fd3de83c47a1a2fd7f8a39fb94b25edce659374bf78438f6690f8e5d6b11d82583f187
+  metadata.gz: fb8b79a26f30802f2016981c4a96d68c193c794a76bd5b7b2f4f24d8805d0afc72150440b17b182898508a2cbc25675c7bba3bbc67288edec0aa8b8270c78bbc
+  data.tar.gz: bbe9daf65b7c7197fe76a4f2542ea422340399e2d8c46e4169d303f1da8475f2eef33e19b2e2f706fd3c3ef79de588fc3ebce5228c95be0afcc8bd6610522282

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -58,7 +58,7 @@ VALUE cTarfMonteCarlo = Qnil;
 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);
+double get_equivalent_rebate(int, double, float, int);
 
 // Prototype for our methods - methods are prefixed by 'method_' here
 VALUE method_box_muller( VALUE );
@@ -93,8 +93,9 @@ 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;
+double get_equivalent_rebate(int conversion_sign, double rebate, float rate, int dir_sign){
+  double total = (conversion_sign == 1) ? (rebate * rate) : rebate;
+  return (-1 * dir_sign * total);
 }
 
 // main method for running monte carlo simulation from sidekiq worker/outside method
@@ -193,7 +194,7 @@ 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];
+  double data[SCount][5];
   metrics = ( double** ) malloc( DATAPOINTS * sizeof(double*) );
   for( metric = 0; metric < DATAPOINTS; metric++ ) {
     metrics[metric] = ( double* ) malloc( NL * sizeof(double) );
@@ -206,12 +207,21 @@ 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];
 
+    data[sim_count][0] = 0;
+    data[sim_count][1] = 0;
+    data[sim_count][2] = 0;
+    data[sim_count][3] = 0;
+    data[sim_count][4] = 0;
+
+    data[sim_count + 1][0] = 0;
+    data[sim_count + 1][1] = 0;
+    data[sim_count + 1][2] = 0;
+    data[sim_count + 1][3] = 0;
+    data[sim_count + 1][4] = 0;
+
     // reset all simulation leg specific results
     for ( leg = 0; leg < NL; ++leg ) {
       sim[leg] = 0.0;
@@ -395,34 +405,44 @@ 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(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], dir_sign);
       }
       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(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], dir_sign);
       }
     } else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
       if(knockedLeg >= 0){
-        sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg]);
+        sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg], dir_sign);
+        data[sim_count][1] = sim_pos[knockedLeg];
+        data[sim_count][3] = sim_pos[knockedLeg];
+        data[sim_count][5] = sim[knockedLeg];
       }
       else{
         double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim[NL-1]);
+        data[sim_count][0] = equivalent_notional;
         sim_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
+        data[sim_count][2] = sim_pos[NL-1];
+        data[sim_count][5] = sim[NL-1];
       }
       if(knockedLeg_dash >= 0 ){
-        sim_dash_pos[knockedLeg_dash] = get_equivalent_rebate(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], dir_sign);
+        data[sim_count + 1][1] = sim_dash_pos[knockedLeg_dash];
+        data[sim_count + 1][3] = sim_dash_pos[knockedLeg_dash];
+        data[sim_count + 1][5] = sim[knockedLeg_dash];
       }
       else{
         double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim_dash[NL-1]);
+        data[sim_count + 1][0] = equivalent_notional;
         sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
+        data[sim_count + 1][2] = sim_dash_pos[NL-1];
+        data[sim_count + 1][5] = sim[NL-1];
       }
     } else if( KType == ABSOLUTE || KType == PIVOT_ABSOLUTE || KType == COLLAR_ABSOLUTE || KType == DOUBLE_STRIKE_ABSOLUTE ) {
       for( leg = 0; leg < NL; ++leg ) {
@@ -591,13 +611,13 @@ 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 < SCount; metric++) {
-    // VALUE leg_metrics = rb_ary_new();
+    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 < 5; leg++) {
+      rb_ary_push( leg_metrics, DBL2NUM( data[metric][leg] ) );
+    }
 
-    rb_ary_push(final_metrics, data[metric]);
+    rb_ary_push(final_metrics, leg_metrics);
   }
 
   // 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 = "3.33"
+  VERSION = "3.38"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.33'
+  version: '3.38'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-10-05 00:00:00.000000000 Z
+date: 2020-10-06 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler