tarf_monte_carlo 3.4 → 3.11

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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+  data.tar.gz: 2184d334e6b788c45a555e526a0fcb00788722de7068755dac602523699f80f7
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -28,6 +28,9 @@
 #define ABSOLUTE 1 // knockout by absolute
 #define POINTS 2 // knockout by points
 #define LEGS 3 // knockout by legs
+#define PIVOT_POINTS 4
+#define COLLAR_POINTS 5
+#define DUAL_STRIKE_POINTS 6
 #define DATAPOINTS 200 // data for plotting
 #define INTERVAL 50
 #define SIM_LIMIT 196 // 196 + 4 = 200 simulations nedded
@@ -67,8 +70,8 @@ VALUE method_box_muller( VALUE self ) {
 // main method for running monte carlo simulation from sidekiq worker/outside method
 VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   VALUE MCInputs = rb_ary_shift(args);
-  rb_p(rb_str_new2("MC Inputs:"));
-  rb_p(MCInputs);
+  // rb_p(rb_str_new2("MC Inputs:"));
+  // rb_p(MCInputs);
 
   // seed value for rand() function
   srand( time(0) );
@@ -77,24 +80,29 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   int leg, sim_count, metric, point_pos = 0;
   double pvs_pos_sum = 0.0, pvs_neg_sum = 0.0;
 
-  int SCount = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("scount")) ) * 2;
-  int MCType = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("mc_type")) );
-  int NL     = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("legs_count")) );
-  int BS     = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("buy_sell")) );
-  double K   = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("knockout")) );
-  int KType  = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("knockout_type")) );
-  double S   = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("spot_rate")) );
+  int SCount            = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("scount")) ) * 2;
+  int MCType            = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("mc_type")) );
+  int NL                = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("legs_count")) );
+  int BS                = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("buy_sell")) );
+  double K              = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("knockout")) );
+  int KType             = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("knockout_type")) );
+  double S              = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("spot_rate")) );
+  int Ko_compare_mult   = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("multiplier")) );
 
   // assign leg specific attributes
-  double *pvs_pos   = ( double* ) malloc( SCount * sizeof(double) );
-  double *pvs_neg   = ( double* ) malloc( SCount * sizeof(double) );
-  double *Ls_array  = ( double* ) malloc( NL * sizeof(double) );
-  double *Ts_array  = ( double* ) malloc( NL * sizeof(double) );
-  double *Ns_array  = ( double* ) malloc( NL * sizeof(double) );
-  double *Xs_array  = ( double* ) malloc( NL * sizeof(double) );
-  double *vs_array  = ( double* ) malloc( NL * sizeof(double) );
-  double *bs_array  = ( double* ) malloc( NL * sizeof(double) );
-  double *DFs_array = ( double* ) malloc( NL * sizeof(double) );
+  double *pvs_pos     = ( double* ) malloc( SCount * sizeof(double) );
+  double *pvs_neg     = ( double* ) malloc( SCount * sizeof(double) );
+  double *Ls_array    = ( double* ) malloc( NL * sizeof(double) );
+  double *Ts_array    = ( double* ) malloc( NL * sizeof(double) );
+  double *Ns_array    = ( double* ) malloc( NL * sizeof(double) );
+  double *Xs_array    = ( double* ) malloc( NL * sizeof(double) );
+  double *vs_array    = ( double* ) malloc( NL * sizeof(double) );
+  double *bs_array    = ( double* ) malloc( NL * sizeof(double) );
+  double *DFs_array   = ( double* ) malloc( NL * sizeof(double) );
+  double *Ps_array    = ( double* ) malloc( NL * sizeof(double) );
+  double *CFs_array   = ( double* ) malloc( NL * sizeof(double) );
+  double *LSts_array  = ( double* ) malloc( NL * sizeof(double) );
+  double *USts_array  = ( double* ) malloc( NL * sizeof(double) );
 
   VALUE Ls = rb_hash_aref(MCInputs, rb_str_new2("leverage_ratios") );
   VALUE Ts = rb_hash_aref(MCInputs, rb_str_new2("expiration_times") );
@@ -103,6 +111,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   VALUE vs = rb_hash_aref(MCInputs, rb_str_new2("volatilities") );
   VALUE bs = rb_hash_aref(MCInputs, rb_str_new2("carry_rates") );
   VALUE DFs = rb_hash_aref(MCInputs, rb_str_new2("discount_factors") );
+  VALUE Ps = rb_hash_aref(MCInputs, rb_str_new2("pivots") );
+  VALUE CFs = rb_hash_aref(MCInputs, rb_str_new2("caps") );
+  VALUE LSts = rb_hash_aref(MCInputs, rb_str_new2("lower_strikes") );
+  VALUE USts = rb_hash_aref(MCInputs, rb_str_new2("upper_strikes") );
 
   for (leg = 0; leg < NL; ++leg) {
     Ls_array[leg] = NUM2DBL( rb_ary_entry(Ls, leg) );
@@ -112,6 +124,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     vs_array[leg] = NUM2DBL( rb_ary_entry(vs, leg) );
     bs_array[leg] = NUM2DBL( rb_ary_entry(bs, leg) );
     DFs_array[leg] = NUM2DBL( rb_ary_entry(DFs, leg) );
+    Ps_array[leg] = NUM2DBL( rb_ary_entry(Ps, leg) );
+    CFs_array[leg] = NUM2DBL( rb_ary_entry(CFs, leg) );
+    LSts_array[leg] = NUM2DBL( rb_ary_entry(LSts, leg) );
+    USts_array[leg] = NUM2DBL( rb_ary_entry(USts, leg) );
   }
 
   //
@@ -165,10 +181,28 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         // profit if spot is higher than market price
         profit_loss_dash = ( Spot_dash - ( *( Xs_array + leg ) ) );
       } else if ( BS == SELL ) {
-        // profit if spot is lower than market price
-        profit_loss = ( ( *( Xs_array + leg ) ) - Spot );
-        // profit if spot is lower than market price
-        profit_loss_dash = ( ( *( Xs_array + leg ) ) - Spot_dash );
+        if ( KType == PIVOT_POINTS ) {
+          if ( Spot <= *( Xs_array + leg ) && Spot < *( Ps_array + leg ) ) {
+            profit_loss = *( Xs_array + leg ) - Spot;
+          } else if ( Spot > *( Xs_array + leg ) && Spot >= *( Ps_array + leg ) ) {
+            profit_loss = *( Xs_array + leg ) - Spot;
+          } else {
+            profit_loss = 0.0;
+          }
+          // dash
+          if ( Spot_dash <= *( Xs_array + leg ) && Spot_dash < *( Ps_array + leg ) ) {
+            profit_loss_dash = *( Xs_array + leg ) - Spot_dash;
+          } else if ( Spot_dash > *( Xs_array + leg ) && Spot_dash >= *( Ps_array + leg ) ) {
+            profit_loss_dash = *( Xs_array + leg ) - Spot_dash;
+          } else {
+            profit_loss_dash = 0.0;
+          }
+        } else {
+          // profit if spot is lower than market price
+          profit_loss = ( ( *( Xs_array + leg ) ) - Spot );
+          // profit if spot is lower than market price
+          profit_loss_dash = ( ( *( Xs_array + leg ) ) - Spot_dash );
+        }
       }
 
       sim[leg] = profit_loss;
@@ -178,7 +212,7 @@ 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"));
+        // rb_p(rb_str_new2("Leg:Spots"));
         metrics[ point_pos ][ leg ] = Spot;
         metrics[ point_pos + 2 ][ leg ] = Spot_dash;
       }
@@ -201,13 +235,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           if( sim[leg] >= 0.0 ) {
             // knock out condition
             double temp_payoff = sim[leg] * ( *( Ns_array + leg ) );
+            double temp_payoff_ko_ccy = temp_payoff * pow( *( Xs_array + leg ), Ko_compare_mult );
 
-            if( temp_payoff > ko_so_far ) {
-              sim_pos[leg] = ko_so_far;
+            if( temp_payoff_ko_ccy > ko_so_far ) {
+              sim_pos[leg] = ko_so_far * pow( *( Xs_array + leg ), (-1 * Ko_compare_mult) );
               ko_so_far = 0.0;
-            } else if( temp_payoff <= ko_so_far ) {
+            } else if( temp_payoff_ko_ccy <= ko_so_far ) {
               sim_pos[leg] = temp_payoff; // take the payoff in +ve's
-              ko_so_far -= temp_payoff; // update the knock out
+              ko_so_far -= temp_payoff_ko_ccy; // update the knock out
             }
           } else {
             sim_neg[leg] = sim[leg] * ( *( Ls_array + leg ) ) * ( *( Ns_array + leg ) );
@@ -219,13 +254,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           if( sim_dash[leg] >= 0.0 ) {
             // knock out condition
             double temp_payoff_dash = sim_dash[leg] * ( *( Ns_array + leg ) );
+            double temp_payoff_ko_ccy = temp_payoff_dash * pow( *( Xs_array + leg ), Ko_compare_mult );
 
-            if( temp_payoff_dash > ko_so_far_dash ) {
-              sim_dash_pos[leg] = ko_so_far_dash;
+            if( temp_payoff_ko_ccy > ko_so_far_dash ) {
+              sim_dash_pos[leg] = ko_so_far_dash * pow( *( Xs_array + leg ), (-1 * Ko_compare_mult) );
               ko_so_far_dash = 0.0;
-            } else if( temp_payoff_dash <= ko_so_far_dash ) {
+            } else if( temp_payoff_ko_ccy <= ko_so_far_dash ) {
               sim_dash_pos[leg] = temp_payoff_dash; // take the payoff in +ve's
-              ko_so_far_dash -= temp_payoff_dash; // update the knock out
+              ko_so_far_dash -= temp_payoff_ko_ccy; // update the knock out
             }
           } else {
             sim_dash_neg[leg] = sim_dash[leg] * ( *( Ls_array + leg ) ) * ( *( Ns_array + leg ) );
@@ -299,7 +335,7 @@ 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"));
+        // 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]);
       }
@@ -321,18 +357,18 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     // Note: no limit condition here
     //
     if( (sim_count + 2) % INTERVAL == 0 ) {
-      rb_p(rb_str_new2("T:"));
-      rb_p(INT2NUM(point_pos));
+      // rb_p(rb_str_new2("T:"));
+      // rb_p(INT2NUM(point_pos));
       point_pos += 4;
     }
   }
   // run simulations loop
-  rb_p(rb_str_new2("Simulation loop done"));
+  // rb_p(rb_str_new2("Simulation loop done"));
 
   //
   // sum all final +ve and -ve payoffs
   //
-  rb_p(rb_str_new2("Calculating final PVs"));
+  // rb_p(rb_str_new2("Calculating final PVs"));
   for(sim_count = 0; sim_count < SCount; ++sim_count) {
     pvs_pos_sum += *(pvs_pos + sim_count);
     pvs_neg_sum += *(pvs_neg + sim_count);
@@ -341,7 +377,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   //
   // free dynamically alloted heap memory
   //
-  rb_p(rb_str_new2("Free allocated arrays"));
+  // rb_p(rb_str_new2("Free allocated arrays"));
   free(pvs_pos);
   free(pvs_neg);
   free(Ls_array);
@@ -355,7 +391,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   //
   // return both payoffs
   //
-  rb_p(rb_str_new2("Converting metrics"));
+  // rb_p(rb_str_new2("Converting metrics"));
   VALUE final_metrics = rb_ary_new();
   for(metric = 0; metric < DATAPOINTS; metric++) {
     VALUE leg_metrics = rb_ary_new();
@@ -367,7 +403,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     rb_ary_push(final_metrics, leg_metrics);
   }
 
-  rb_p(rb_str_new2("Generating output hash"));
+  // rb_p(rb_str_new2("Generating output hash"));
   VALUE final_pvs = rb_hash_new();
   rb_hash_aset(final_pvs, rb_str_new2("positive_pv"), DBL2NUM( pvs_pos_sum / SCount ));
   rb_hash_aset(final_pvs, rb_str_new2("negative_pv"), DBL2NUM( pvs_neg_sum / SCount ));
@@ -399,4 +435,3 @@ void Init_tarf_monte_carlo() {
   rb_define_singleton_method(cTarfMonteCarlo, "box_muller", method_box_muller, 0);
   rb_define_singleton_method(cTarfMonteCarlo, "run_monte_carlo", method_run_monte_carlo, -2);
 }
-

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.4"
+  VERSION = "3.11"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.4'
+  version: '3.11'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-04-02 00:00:00.000000000 Z
+date: 2020-09-15 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
@@ -116,6 +116,7 @@ files:
 - bin/setup
 - ext/tarf_monte_carlo/extconf.rb
 - ext/tarf_monte_carlo/tarf_monte_carlo.c
+- lib/.DS_Store
 - lib/tarf_monte_carlo.rb
 - lib/tarf_monte_carlo/version.rb
 - tarf_monte_carlo.gemspec