tarf_monte_carlo 3.35 → 3.40
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- checksums.yaml +4 -4
- data/ext/tarf_monte_carlo/Makefile +2 -2
- data/ext/tarf_monte_carlo/tarf_monte_carlo.c +76 -26
- data/lib/tarf_monte_carlo/version.rb +1 -1
- metadata +1 -1
checksums.yaml
CHANGED
@@ -1,7 +1,7 @@
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---
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SHA256:
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metadata.gz:
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data.tar.gz:
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metadata.gz: f231f81b4a9ab34e54066bb8ea45ec98a3a61f84380c30efc0d7c8f9f4f53f68
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data.tar.gz: eb3ca69c30ddbf3fdae6ce5f36a5c5a528e968482e5f21f140913a8b2e582721
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: 45c17a468210171ec2c7eff76561c0233940ae8567a0429f5659b8cb50b4072de504357913a2dfb983bf1aabc864aaaca05324aa53cf8f2785315d021482befe
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data.tar.gz: 33abb3608d5f192a993c9262e67375a40050c26bdc204a373eae876f0b457cb1739a35898198f4ba47103e93e2f71bc69f0d184e83002e0d4e02c142d56ee1ce
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@@ -135,9 +135,9 @@ extout_prefix =
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target_prefix = /tarf_monte_carlo
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LOCAL_LIBS =
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LIBS = $(LIBRUBYARG_SHARED) -lpthread -ldl -lobjc
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-
ORIG_SRCS = tarf_monte_carlo
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+
ORIG_SRCS = tarf_monte_carlo.c
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SRCS = $(ORIG_SRCS)
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-
OBJS = tarf_monte_carlo
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+
OBJS = tarf_monte_carlo.o
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HDRS =
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LOCAL_HDRS =
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TARGET = tarf_monte_carlo
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@@ -58,7 +58,7 @@ VALUE cTarfMonteCarlo = Qnil;
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void Init_tarf_monte_carlo();
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double european_payoff(double, double, int, int, double);
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double get_equivalent_notional(int, double, float);
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-
double get_equivalent_rebate(int, double, float);
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double get_equivalent_rebate(int, double, float, int);
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// Prototype for our methods - methods are prefixed by 'method_' here
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VALUE method_box_muller( VALUE );
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@@ -93,8 +93,9 @@ double get_equivalent_notional(int conversion_sign, double notional, float rate)
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return (conversion_sign == 1) ? (notional / rate) : notional;
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}
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-
double get_equivalent_rebate(int conversion_sign, double rebate, float rate){
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-
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double get_equivalent_rebate(int conversion_sign, double rebate, float rate, int dir_sign){
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double total = (conversion_sign == 1) ? (rebate * rate) : rebate;
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return (-1 * dir_sign * total);
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}
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// main method for running monte carlo simulation from sidekiq worker/outside method
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@@ -193,12 +194,23 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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// first create a 1-D array of pointers, and then, for each array entry, create another 1-D array.
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//
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double **metrics;
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-
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-
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if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
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metrics = ( double** ) malloc( 3 * sizeof(double*) );
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for( metric = 0; metric < 3; metric++ ) {
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metrics[metric] = ( double* ) malloc( DATAPOINTS * sizeof(double) );
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for(leg = 0; leg < DATAPOINTS; leg++) {
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metrics[metric][leg] = 0.0;
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}
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}
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}
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else{
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metrics = ( double** ) malloc( DATAPOINTS * sizeof(double*) );
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for( metric = 0; metric < DATAPOINTS; metric++ ) {
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metrics[metric] = ( double* ) malloc( NL * sizeof(double) );
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-
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-
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for(leg = 0; leg < NL; leg++) {
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metrics[metric][leg] = 0.0;
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}
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}
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}
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@@ -372,10 +384,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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//
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// Store spot and spot dash
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//
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-
if
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-
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if (!(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE)){
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if( point_pos <= SIM_LIMIT && (sim_count + 2) % INTERVAL == 0 ) {
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// rb_p(rb_str_new2("Leg:Spots"));
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metrics[ point_pos ][ leg ] = Spot;
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metrics[ point_pos + 2 ][ leg ] = Spot_dash;
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}
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}
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// if excuted UNCHAINED method
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@@ -394,30 +408,44 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
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}
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else{
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sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1]);
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sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1], dir_sign);
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}
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if(knockedLeg_dash >= 0 ){
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double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
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sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
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}
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else{
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sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1]);
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sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1], dir_sign);
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}
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if ((sim_count % INTERVAL) == 0){
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metrics[0][sim_count] = sim[NL-1];
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metrics[1][sim_count] = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
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metrics[0][sim_count+1] = sim_dash[NL-1];
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metrics[1][sim_count+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
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}
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} else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
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if(knockedLeg >= 0){
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sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg]);
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sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg], dir_sign);
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}
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else{
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double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim[NL-1]);
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sim_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
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}
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if(knockedLeg_dash >= 0 ){
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-
sim_dash_pos[knockedLeg_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg_dash ) ), sim[knockedLeg_dash]);
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sim_dash_pos[knockedLeg_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg_dash ) ), sim[knockedLeg_dash], dir_sign);
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}
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else{
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double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim_dash[NL-1]);
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sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
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}
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if ((sim_count % INTERVAL) == 0){
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metrics[0][sim_count] = (knockedLeg >= 0) ? sim[knockedLeg] : sim[NL-1];
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metrics[1][sim_count] = ( *( Xs_array + 0 ) );
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metrics[0][sim_count+1] = (knockedLeg_dash >= 0) ? sim[knockedLeg_dash] : sim[NL-1];
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metrics[1][sim_count+1] = ( *( Xs_array + 0 ) );
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}
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} else if( KType == ABSOLUTE || KType == PIVOT_ABSOLUTE || KType == COLLAR_ABSOLUTE || KType == DOUBLE_STRIKE_ABSOLUTE ) {
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for( leg = 0; leg < NL; ++leg ) {
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// simulation normal
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@@ -525,10 +553,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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//
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// store and send whichever payoff you want
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//
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-
if
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if (!(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE)){
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if( point_pos <= SIM_LIMIT && (sim_count + 2) % INTERVAL == 0 ) {
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// rb_p(rb_str_new2("Leg:Payoffs"));
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metrics[ point_pos + 1 ][ leg ] = (sim_pos[leg] + sim_neg[leg]);
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metrics[ point_pos + 3 ][ leg ] = (sim_dash_pos[leg] + sim_dash_neg[leg]);
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}
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}
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sim_pos_sum += sim_pos[leg] * ( *( DFs_array + leg ) );
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@@ -542,6 +572,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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pvs_pos[sim_count + 1] = sim_dash_pos_sum;
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pvs_neg[sim_count] = sim_neg_sum;
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pvs_neg[sim_count + 1] = sim_dash_neg_sum;
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if ((sim_count % INTERVAL) == 0){
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metrics[2][sim_count] = sim_pos_sum;
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metrics[2][sim_count+1] = sim_dash_pos_sum;
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}
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//
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// increment metric storing point by 4
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@@ -584,14 +618,28 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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//
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// rb_p(rb_str_new2("Converting metrics"));
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VALUE final_metrics = rb_ary_new();
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for(metric = 0; metric < DATAPOINTS; metric++) {
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VALUE leg_metrics = rb_ary_new();
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-
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-
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if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
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for(metric = 0; metric < 3; metric++) {
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VALUE leg_metrics = rb_ary_new();
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for(leg = 0; leg < DATAPOINTS; leg++) {
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rb_ary_push( leg_metrics, DBL2NUM( metrics[metric][leg] ) );
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}
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rb_ary_push(final_metrics, leg_metrics);
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}
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}
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else{
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for(metric = 0; metric < DATAPOINTS; metric++) {
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VALUE leg_metrics = rb_ary_new();
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-
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for(leg = 0; leg < NL; leg++) {
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rb_ary_push( leg_metrics, DBL2NUM( metrics[metric][leg] ) );
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}
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rb_ary_push(final_metrics, leg_metrics);
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}
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}
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// rb_p(rb_str_new2("Generating output hash"));
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@@ -604,7 +652,9 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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//
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// free your arrays from memory once you're done using them
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//
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-
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int dp = (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE) ? 3 : DATAPOINTS;
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+
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for(metric = 0; metric < dp; metric++) {
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free( metrics[metric] );
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}
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free(metrics);
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