tarf_monte_carlo 3.41 → 3.46

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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+  metadata.gz: 189ce30c759cdc40444b5ffc5443e8d93680adb392be409beb2f8d6445e1f667
+  data.tar.gz: 93b441a9d9481e0595b9b029e28792d2a4bf08299b0bd0ca3396a680bb85184c
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -45,6 +45,7 @@
 #define FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE 14
 
 #define DATAPOINTS 200 // data for plotting
+#define BARRIER_DP 4 // data for plotting
 #define INTERVAL 50
 #define SIM_LIMIT 196 // 196 + 4 = 200 simulations nedded
 
@@ -195,8 +196,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   //
   double **metrics;
   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 = ( double** ) malloc( BARRIER_DP * sizeof(double*) );
+    for( metric = 0; metric < BARRIER_DP; metric++ ) {
       metrics[metric] = ( double* ) malloc( DATAPOINTS * sizeof(double) );
       for(leg = 0; leg < DATAPOINTS; leg++) {
         metrics[metric][leg] = 0.0;
@@ -417,11 +418,16 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       else{
         sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1], dir_sign);
       }
-      if ((sim_count + 2) % 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;
+      if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
+        metrics[0][point_pos] = sim[NL-1];
+        metrics[1][point_pos] = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
+        metrics[0][point_pos+1] = sim_dash[NL-1];
+        metrics[1][point_pos+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
+
+        metrics[2][point_pos]   = sim_pos[NL-1];
+        metrics[2][point_pos+1] = sim_dash_pos[NL-1];
+        metrics[3][point_pos]   = knockedLeg;
+        metrics[3][point_pos+1] = knockedLeg_dash;
       }
     } else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
       if(knockedLeg >= 0){
@@ -439,11 +445,11 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
 
-      if ((sim_count + 2) % 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 ) );
+      if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
+        metrics[0][point_pos] = (knockedLeg >= 0) ? sim[knockedLeg] : sim[NL-1];
+        metrics[1][point_pos] = ( *( Xs_array + 0 ) );
+        metrics[0][point_pos+1] = (knockedLeg_dash >= 0) ? sim[knockedLeg_dash] : sim[NL-1];
+        metrics[1][point_pos+1] = ( *( Xs_array + 0 ) );
       }
 
     } else if( KType == ABSOLUTE || KType == PIVOT_ABSOLUTE || KType == COLLAR_ABSOLUTE || KType == DOUBLE_STRIKE_ABSOLUTE ) {
@@ -572,19 +578,25 @@ 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 + 2) % INTERVAL == 0){
-      metrics[2][sim_count]   = sim_pos_sum;
-      metrics[2][sim_count+1] = sim_dash_pos_sum;
-    }
 
-    //
-    // increment metric storing point by 4
-    // Note: no limit condition here
-    //
-    if( (sim_count + 2) % INTERVAL == 0 ) {
-      // rb_p(rb_str_new2("T:"));
-      // rb_p(INT2NUM(point_pos));
-      point_pos += 4;
+    
+    if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
+      if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
+        // metrics[2][point_pos]   = sim_pos_sum;
+        // metrics[2][point_pos+1] = sim_dash_pos_sum;
+        point_pos += 2;
+      }
+    }
+    else{
+      //
+      // increment metric storing point by 4
+      // Note: no limit condition here
+      //
+      if( (sim_count + 2) % INTERVAL == 0 ) {
+        // rb_p(rb_str_new2("T:"));
+        // rb_p(INT2NUM(point_pos));
+        point_pos += 4;
+      }
     }
   }
   // run simulations loop
@@ -618,9 +630,9 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   //
   // rb_p(rb_str_new2("Converting metrics"));
   VALUE final_metrics = rb_ary_new();
-
+  
   if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
-    for(metric = 0; metric < 3; metric++) {
+    for(metric = 0; metric < BARRIER_DP; metric++) {
       VALUE leg_metrics = rb_ary_new();
 
       for(leg = 0; leg < DATAPOINTS; leg++) {
@@ -652,8 +664,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   //
   // free your arrays from memory once you're done using them
   //
-  int dp = (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE) ? 3 : DATAPOINTS;
-
+  int dp = (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE) ? BARRIER_DP : DATAPOINTS; 
   for(metric = 0; metric < dp; metric++) {
     free( metrics[metric] );
   }

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.41"
+  VERSION = "3.46"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.41'
+  version: '3.46'
 platform: ruby
 authors:
 - Vivek Routh
@@ -140,7 +140,7 @@ required_rubygems_version: !ruby/object:Gem::Requirement
     - !ruby/object:Gem::Version
       version: '0'
 requirements: []
-rubygems_version: 3.0.6
+rubygems_version: 3.0.8
 signing_key: 
 specification_version: 4
 summary: Monte Carlo Simulation.