tarf_monte_carlo 3.34 → 3.39

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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-  data.tar.gz: da934c46905408ad6bc80694e4b2644535078437fd347c8f986aa9eb71c777b0
+  metadata.gz: 2e7279ef5830fc815c5c7b634bceb83e463233ec0d6f329c10c3bb5745ccbbfd
+  data.tar.gz: 04af76f8b9fa855336483d31e06a34793d522e39587d893cec07bbd0d24a0ed1
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data/ext/tarf_monte_carlo/Makefile

@@ -135,9 +135,9 @@ extout_prefix =
 target_prefix = /tarf_monte_carlo
 LOCAL_LIBS = 
 LIBS = $(LIBRUBYARG_SHARED)  -lpthread -ldl -lobjc 
-ORIG_SRCS = tarf_monte_carlo (1).c tarf_monte_carlo.c
+ORIG_SRCS = tarf_monte_carlo.c
 SRCS = $(ORIG_SRCS) 
-OBJS = tarf_monte_carlo (1).o tarf_monte_carlo.o
+OBJS = tarf_monte_carlo.o
 HDRS = 
 LOCAL_HDRS = 
 TARGET = tarf_monte_carlo

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 );
@@ -90,13 +90,12 @@ 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){
-  double eq = (conversion_sign == 1) ? (notional / rate) : notional;
-  return eq;
+  return (conversion_sign == 1) ? (notional / rate) : notional;
 }
 
-double get_equivalent_rebate(int conversion_sign, double rebate, float rate){
-  double eq = (conversion_sign == 1) ? (rebate * rate) : rebate;
-  return eq;
+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
@@ -195,22 +194,29 @@ 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) );
+  if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
+    metrics = ( double** ) malloc( 3 * sizeof(double*) );
+    for( metric = 0; metric < 3; metric++ ) {
+      metrics[metric] = ( double* ) malloc( DATAPOINTS * sizeof(double) );
+      for(leg = 0; leg < DATAPOINTS; leg++) {
+        metrics[metric][leg] = 0.0;
+      }
+    }
+  }
+  else{  
+    metrics = ( double** ) malloc( DATAPOINTS * sizeof(double*) );
+    for( metric = 0; metric < DATAPOINTS; metric++ ) {
+      metrics[metric] = ( double* ) malloc( NL * sizeof(double) );
 
-    for(leg = 0; leg < NL; leg++) {
-      metrics[metric][leg] = 0.0;
+      for(leg = 0; leg < NL; leg++) {
+        metrics[metric][leg] = 0.0;
+      }
     }
   }
 
   // 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];
 
@@ -378,10 +384,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       //
       // Store spot and spot dash
       //
-      if( point_pos <= SIM_LIMIT && (sim_count + 2) % INTERVAL == 0 ) {
-        // rb_p(rb_str_new2("Leg:Spots"));
-        metrics[ point_pos ][ leg ] = Spot;
-        metrics[ point_pos + 2 ][ leg ] = Spot_dash;
+      if (!(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE)){
+        if( point_pos <= SIM_LIMIT && (sim_count + 2) % INTERVAL == 0 ) {
+          // rb_p(rb_str_new2("Leg:Spots"));
+          metrics[ point_pos ][ leg ] = Spot;
+          metrics[ point_pos + 2 ][ leg ] = Spot_dash;
+        }
       }
 
       // if excuted UNCHAINED method
@@ -397,35 +405,47 @@ 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);
+      }
+      if ((sim_count % INTERVAL) == 0){
+        metrics[0][sim_count] = sim[NL-1];
+        metrics[1][sim_count] = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
+        metrics[0][sim_count+1] = sim_dash[NL-1];
+        metrics[1][sim_count+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
       }
     } 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);
       }
       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]);
+        sim_dash_pos[knockedLeg_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg_dash ) ), sim[knockedLeg_dash], dir_sign);
       }
       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);
       }
+
+      if ((sim_count % INTERVAL) == 0){
+        metrics[0][sim_count] = (knockedLeg >= 0) ? sim[knockedLeg] : sim[NL-1];
+        metrics[1][sim_count] = ( *( Xs_array + 0 ) );
+        metrics[0][sim_count+1] = (knockedLeg_dash >= 0) ? sim[knockedLeg_dash] : sim[NL-1];
+        metrics[1][sim_count+1] = ( *( Xs_array + 0 ) );
+      }
+
     } else if( KType == ABSOLUTE || KType == PIVOT_ABSOLUTE || KType == COLLAR_ABSOLUTE || KType == DOUBLE_STRIKE_ABSOLUTE ) {
       for( leg = 0; leg < NL; ++leg ) {
         // simulation normal
@@ -533,10 +553,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       //
       // store and send whichever payoff you want
       //
-      if( point_pos <= SIM_LIMIT && (sim_count + 2) % INTERVAL == 0 ) {
-        // rb_p(rb_str_new2("Leg:Payoffs"));
-        metrics[ point_pos + 1 ][ leg ] = (sim_pos[leg] + sim_neg[leg]);
-        metrics[ point_pos + 3 ][ leg ] = (sim_dash_pos[leg] + sim_dash_neg[leg]);
+      if (!(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE)){
+        if( point_pos <= SIM_LIMIT && (sim_count + 2) % INTERVAL == 0 ) {
+          // rb_p(rb_str_new2("Leg:Payoffs"));
+          metrics[ point_pos + 1 ][ leg ] = (sim_pos[leg] + sim_neg[leg]);
+          metrics[ point_pos + 3 ][ leg ] = (sim_dash_pos[leg] + sim_dash_neg[leg]);
+        }
       }
 
       sim_pos_sum += sim_pos[leg] * ( *( DFs_array + leg ) );
@@ -550,6 +572,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     pvs_pos[sim_count + 1]  = sim_dash_pos_sum;
     pvs_neg[sim_count]      = sim_neg_sum;
     pvs_neg[sim_count + 1]  = sim_dash_neg_sum;
+    if ((sim_count % INTERVAL) == 0){
+      metrics[2][sim_count]   = sim_pos_sum;
+      metrics[2][sim_count+1] = sim_dash_pos_sum;
+    }
 
     //
     // increment metric storing point by 4
@@ -592,14 +618,28 @@ 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();
 
-    // for(leg = 0; leg < NL; leg++) {
-    //   rb_ary_push( leg_metrics, DBL2NUM( metrics[metric][leg] ) );
-    // }
+  if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
+    for(metric = 0; metric < 3; metric++) {
+      VALUE leg_metrics = rb_ary_new();
+
+      for(leg = 0; leg < DATAPOINTS; leg++) {
+        rb_ary_push( leg_metrics, DBL2NUM( metrics[metric][leg] ) );
+      }
+
+      rb_ary_push(final_metrics, leg_metrics);
+    }
+  }
+  else{
+    for(metric = 0; metric < DATAPOINTS; metric++) {
+      VALUE leg_metrics = rb_ary_new();
 
-    rb_ary_push(final_metrics, data[metric]);
+      for(leg = 0; leg < NL; leg++) {
+        rb_ary_push( leg_metrics, DBL2NUM( metrics[metric][leg] ) );
+      }
+
+      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 = "3.34"
+  VERSION = "3.39"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.34'
+  version: '3.39'
 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