tarf_monte_carlo 3.34 → 3.39
Sign up to get free protection for your applications and to get access to all the features.
- checksums.yaml +4 -4
- data/ext/tarf_monte_carlo/Makefile +2 -2
- data/ext/tarf_monte_carlo/tarf_monte_carlo.c +75 -35
- data/lib/tarf_monte_carlo/version.rb +1 -1
- metadata +2 -2
checksums.yaml
CHANGED
@@ -1,7 +1,7 @@
|
|
1
1
|
---
|
2
2
|
SHA256:
|
3
|
-
metadata.gz:
|
4
|
-
data.tar.gz:
|
3
|
+
metadata.gz: 2e7279ef5830fc815c5c7b634bceb83e463233ec0d6f329c10c3bb5745ccbbfd
|
4
|
+
data.tar.gz: 04af76f8b9fa855336483d31e06a34793d522e39587d893cec07bbd0d24a0ed1
|
5
5
|
SHA512:
|
6
|
-
metadata.gz:
|
7
|
-
data.tar.gz:
|
6
|
+
metadata.gz: 000c137cc26ca306b2055bc10a12a5871d1b06dc5b1c0de52c93a4e8d1349c7e0f20121eb3e526bf12e23c51a8c2f20b318f981eb89d11e63d7c6cdf36692e91
|
7
|
+
data.tar.gz: a78e88a10174d913f1de0dacd80b5c33d08163a1a1bf8c69e8fa51534b47b4f8ab628445298495dfe835972c16328d8407b8f3cb7907c0f3d92e2e554905931f
|
@@ -135,9 +135,9 @@ extout_prefix =
|
|
135
135
|
target_prefix = /tarf_monte_carlo
|
136
136
|
LOCAL_LIBS =
|
137
137
|
LIBS = $(LIBRUBYARG_SHARED) -lpthread -ldl -lobjc
|
138
|
-
ORIG_SRCS = tarf_monte_carlo
|
138
|
+
ORIG_SRCS = tarf_monte_carlo.c
|
139
139
|
SRCS = $(ORIG_SRCS)
|
140
|
-
OBJS = tarf_monte_carlo
|
140
|
+
OBJS = tarf_monte_carlo.o
|
141
141
|
HDRS =
|
142
142
|
LOCAL_HDRS =
|
143
143
|
TARGET = tarf_monte_carlo
|
@@ -58,7 +58,7 @@ VALUE cTarfMonteCarlo = Qnil;
|
|
58
58
|
void Init_tarf_monte_carlo();
|
59
59
|
double european_payoff(double, double, int, int, double);
|
60
60
|
double get_equivalent_notional(int, double, float);
|
61
|
-
double get_equivalent_rebate(int, double, float);
|
61
|
+
double get_equivalent_rebate(int, double, float, int);
|
62
62
|
|
63
63
|
// Prototype for our methods - methods are prefixed by 'method_' here
|
64
64
|
VALUE method_box_muller( VALUE );
|
@@ -90,13 +90,12 @@ double european_payoff(double strike, double spot, int cp_sign, int dir_sign, do
|
|
90
90
|
}
|
91
91
|
|
92
92
|
double get_equivalent_notional(int conversion_sign, double notional, float rate){
|
93
|
-
|
94
|
-
return eq;
|
93
|
+
return (conversion_sign == 1) ? (notional / rate) : notional;
|
95
94
|
}
|
96
95
|
|
97
|
-
double get_equivalent_rebate(int conversion_sign, double rebate, float rate){
|
98
|
-
double
|
99
|
-
return
|
96
|
+
double get_equivalent_rebate(int conversion_sign, double rebate, float rate, int dir_sign){
|
97
|
+
double total = (conversion_sign == 1) ? (rebate * rate) : rebate;
|
98
|
+
return (-1 * dir_sign * total);
|
100
99
|
}
|
101
100
|
|
102
101
|
// 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 ) {
|
|
195
194
|
// first create a 1-D array of pointers, and then, for each array entry, create another 1-D array.
|
196
195
|
//
|
197
196
|
double **metrics;
|
198
|
-
|
199
|
-
|
200
|
-
|
201
|
-
|
197
|
+
if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
|
198
|
+
metrics = ( double** ) malloc( 3 * sizeof(double*) );
|
199
|
+
for( metric = 0; metric < 3; metric++ ) {
|
200
|
+
metrics[metric] = ( double* ) malloc( DATAPOINTS * sizeof(double) );
|
201
|
+
for(leg = 0; leg < DATAPOINTS; leg++) {
|
202
|
+
metrics[metric][leg] = 0.0;
|
203
|
+
}
|
204
|
+
}
|
205
|
+
}
|
206
|
+
else{
|
207
|
+
metrics = ( double** ) malloc( DATAPOINTS * sizeof(double*) );
|
208
|
+
for( metric = 0; metric < DATAPOINTS; metric++ ) {
|
209
|
+
metrics[metric] = ( double* ) malloc( NL * sizeof(double) );
|
202
210
|
|
203
|
-
|
204
|
-
|
211
|
+
for(leg = 0; leg < NL; leg++) {
|
212
|
+
metrics[metric][leg] = 0.0;
|
213
|
+
}
|
205
214
|
}
|
206
215
|
}
|
207
216
|
|
208
217
|
// run simulations loop
|
209
218
|
for( sim_count = 0; sim_count < SCount; sim_count += 2 ) {
|
210
219
|
// initial spot rate for each iteration would be current spot rate
|
211
|
-
data[sim_count] = 0;
|
212
|
-
data[sim_count + 1] = 0;
|
213
|
-
|
214
220
|
double Spot = S, Spot_dash = S;
|
215
221
|
double sim[NL], sim_pos[NL], sim_neg[NL], sim_dash[NL], sim_dash_pos[NL], sim_dash_neg[NL];
|
216
222
|
|
@@ -378,10 +384,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
378
384
|
//
|
379
385
|
// Store spot and spot dash
|
380
386
|
//
|
381
|
-
if
|
382
|
-
|
383
|
-
|
384
|
-
|
387
|
+
if (!(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE)){
|
388
|
+
if( point_pos <= SIM_LIMIT && (sim_count + 2) % INTERVAL == 0 ) {
|
389
|
+
// rb_p(rb_str_new2("Leg:Spots"));
|
390
|
+
metrics[ point_pos ][ leg ] = Spot;
|
391
|
+
metrics[ point_pos + 2 ][ leg ] = Spot_dash;
|
392
|
+
}
|
385
393
|
}
|
386
394
|
|
387
395
|
// if excuted UNCHAINED method
|
@@ -397,35 +405,47 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
397
405
|
if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE){
|
398
406
|
if(knockedLeg >= 0){
|
399
407
|
double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg ) ), sim[NL-1]);
|
400
|
-
data[sim_count] = equivalent_notional;
|
401
408
|
sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
|
402
409
|
}
|
403
410
|
else{
|
404
|
-
sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1]);
|
411
|
+
sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1], dir_sign);
|
405
412
|
}
|
406
413
|
if(knockedLeg_dash >= 0 ){
|
407
414
|
double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
|
408
|
-
data[sim_count + 1] = equivalent_notional;
|
409
415
|
sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
|
410
416
|
}
|
411
417
|
else{
|
412
|
-
sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1]);
|
418
|
+
sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1], dir_sign);
|
419
|
+
}
|
420
|
+
if ((sim_count % INTERVAL) == 0){
|
421
|
+
metrics[0][sim_count] = sim[NL-1];
|
422
|
+
metrics[1][sim_count] = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
|
423
|
+
metrics[0][sim_count+1] = sim_dash[NL-1];
|
424
|
+
metrics[1][sim_count+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
|
413
425
|
}
|
414
426
|
} else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
|
415
427
|
if(knockedLeg >= 0){
|
416
|
-
sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg]);
|
428
|
+
sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg], dir_sign);
|
417
429
|
}
|
418
430
|
else{
|
419
431
|
double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim[NL-1]);
|
420
432
|
sim_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
|
421
433
|
}
|
422
434
|
if(knockedLeg_dash >= 0 ){
|
423
|
-
sim_dash_pos[knockedLeg_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg_dash ) ), sim[knockedLeg_dash]);
|
435
|
+
sim_dash_pos[knockedLeg_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg_dash ) ), sim[knockedLeg_dash], dir_sign);
|
424
436
|
}
|
425
437
|
else{
|
426
438
|
double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim_dash[NL-1]);
|
427
439
|
sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
|
428
440
|
}
|
441
|
+
|
442
|
+
if ((sim_count % INTERVAL) == 0){
|
443
|
+
metrics[0][sim_count] = (knockedLeg >= 0) ? sim[knockedLeg] : sim[NL-1];
|
444
|
+
metrics[1][sim_count] = ( *( Xs_array + 0 ) );
|
445
|
+
metrics[0][sim_count+1] = (knockedLeg_dash >= 0) ? sim[knockedLeg_dash] : sim[NL-1];
|
446
|
+
metrics[1][sim_count+1] = ( *( Xs_array + 0 ) );
|
447
|
+
}
|
448
|
+
|
429
449
|
} else if( KType == ABSOLUTE || KType == PIVOT_ABSOLUTE || KType == COLLAR_ABSOLUTE || KType == DOUBLE_STRIKE_ABSOLUTE ) {
|
430
450
|
for( leg = 0; leg < NL; ++leg ) {
|
431
451
|
// simulation normal
|
@@ -533,10 +553,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
533
553
|
//
|
534
554
|
// store and send whichever payoff you want
|
535
555
|
//
|
536
|
-
if
|
537
|
-
|
538
|
-
|
539
|
-
|
556
|
+
if (!(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE)){
|
557
|
+
if( point_pos <= SIM_LIMIT && (sim_count + 2) % INTERVAL == 0 ) {
|
558
|
+
// rb_p(rb_str_new2("Leg:Payoffs"));
|
559
|
+
metrics[ point_pos + 1 ][ leg ] = (sim_pos[leg] + sim_neg[leg]);
|
560
|
+
metrics[ point_pos + 3 ][ leg ] = (sim_dash_pos[leg] + sim_dash_neg[leg]);
|
561
|
+
}
|
540
562
|
}
|
541
563
|
|
542
564
|
sim_pos_sum += sim_pos[leg] * ( *( DFs_array + leg ) );
|
@@ -550,6 +572,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
550
572
|
pvs_pos[sim_count + 1] = sim_dash_pos_sum;
|
551
573
|
pvs_neg[sim_count] = sim_neg_sum;
|
552
574
|
pvs_neg[sim_count + 1] = sim_dash_neg_sum;
|
575
|
+
if ((sim_count % INTERVAL) == 0){
|
576
|
+
metrics[2][sim_count] = sim_pos_sum;
|
577
|
+
metrics[2][sim_count+1] = sim_dash_pos_sum;
|
578
|
+
}
|
553
579
|
|
554
580
|
//
|
555
581
|
// increment metric storing point by 4
|
@@ -592,14 +618,28 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
592
618
|
//
|
593
619
|
// rb_p(rb_str_new2("Converting metrics"));
|
594
620
|
VALUE final_metrics = rb_ary_new();
|
595
|
-
for(metric = 0; metric < SCount; metric++) {
|
596
|
-
// VALUE leg_metrics = rb_ary_new();
|
597
621
|
|
598
|
-
|
599
|
-
|
600
|
-
|
622
|
+
if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
|
623
|
+
for(metric = 0; metric < 3; metric++) {
|
624
|
+
VALUE leg_metrics = rb_ary_new();
|
625
|
+
|
626
|
+
for(leg = 0; leg < DATAPOINTS; leg++) {
|
627
|
+
rb_ary_push( leg_metrics, DBL2NUM( metrics[metric][leg] ) );
|
628
|
+
}
|
629
|
+
|
630
|
+
rb_ary_push(final_metrics, leg_metrics);
|
631
|
+
}
|
632
|
+
}
|
633
|
+
else{
|
634
|
+
for(metric = 0; metric < DATAPOINTS; metric++) {
|
635
|
+
VALUE leg_metrics = rb_ary_new();
|
601
636
|
|
602
|
-
|
637
|
+
for(leg = 0; leg < NL; leg++) {
|
638
|
+
rb_ary_push( leg_metrics, DBL2NUM( metrics[metric][leg] ) );
|
639
|
+
}
|
640
|
+
|
641
|
+
rb_ary_push(final_metrics, leg_metrics);
|
642
|
+
}
|
603
643
|
}
|
604
644
|
|
605
645
|
// rb_p(rb_str_new2("Generating output hash"));
|
metadata
CHANGED
@@ -1,14 +1,14 @@
|
|
1
1
|
--- !ruby/object:Gem::Specification
|
2
2
|
name: tarf_monte_carlo
|
3
3
|
version: !ruby/object:Gem::Version
|
4
|
-
version: '3.
|
4
|
+
version: '3.39'
|
5
5
|
platform: ruby
|
6
6
|
authors:
|
7
7
|
- Vivek Routh
|
8
8
|
autorequire:
|
9
9
|
bindir: exe
|
10
10
|
cert_chain: []
|
11
|
-
date: 2020-10-
|
11
|
+
date: 2020-10-06 00:00:00.000000000 Z
|
12
12
|
dependencies:
|
13
13
|
- !ruby/object:Gem::Dependency
|
14
14
|
name: bundler
|