tarf_monte_carlo 3.36 → 3.41
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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 +75 -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: 613891fdd7b41ca68d9e30b1b3106545dbfdcaab578ea5be585b8e8c33875f7a
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data.tar.gz: 62de3fcb90c0edfe1298938ed9e351a54a39e42366de3da5a1a01cc230c65712
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: 4da0be66316bb60b507176f283a8d87bc02c83e3b9218fd198812c0847c94410f79ff5c87c4ceae83084546747c711264eca1c98dc104af7511e704a221c11e2
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data.tar.gz: b2ee2e95b2f23b628e69b6e6b4e334c9453f6325e4374d43dffbaf4cff51217899f56b48f41a7ce2bd3c0abba4c819689233aa4df0fe343d5a644d26d58b5f53
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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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@@ -93,9 +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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+
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 * total);
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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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@@ -194,12 +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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@@ -373,10 +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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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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@@ -395,30 +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 + 2) % 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 + 2) % 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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@@ -526,10 +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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@@ -543,6 +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 + 2) % 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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@@ -585,14 +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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@@ -605,7 +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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