tarf_monte_carlo 3.42 → 3.47
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/tarf_monte_carlo.c +26 -18
- 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: a69379430c97fbbf86b791e49a7564c7504a21fa73f3ea44ede3ec1d3a876bc6
|
4
|
+
data.tar.gz: 3fcd6ef1020d223148c3279c80694c007373f933f434ee48258a62938188c130
|
5
5
|
SHA512:
|
6
|
-
metadata.gz:
|
7
|
-
data.tar.gz:
|
6
|
+
metadata.gz: 55528c53ec418a966b6e8e405ba177038e097993ac5a532bb99c4bfbc8d32048eea25ca8893749207c0ccb6e950ff0fdff6a573e99ccd71a5d627e40b3204a87
|
7
|
+
data.tar.gz: fd79143e72702699469613433aeffcc7fe75fa001c69a6f759582bb72059ba8847862eea11357dc365d73acf06e34a0362d3e09518ac08a865cc0480da13e3ed
|
@@ -45,6 +45,7 @@
|
|
45
45
|
#define FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE 14
|
46
46
|
|
47
47
|
#define DATAPOINTS 200 // data for plotting
|
48
|
+
#define BARRIER_DP 4 // data for plotting
|
48
49
|
#define INTERVAL 50
|
49
50
|
#define SIM_LIMIT 196 // 196 + 4 = 200 simulations nedded
|
50
51
|
|
@@ -195,8 +196,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
195
196
|
//
|
196
197
|
double **metrics;
|
197
198
|
if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
|
198
|
-
metrics = ( double** ) malloc(
|
199
|
-
for( metric = 0; metric <
|
199
|
+
metrics = ( double** ) malloc( BARRIER_DP * sizeof(double*) );
|
200
|
+
for( metric = 0; metric < BARRIER_DP; metric++ ) {
|
200
201
|
metrics[metric] = ( double* ) malloc( DATAPOINTS * sizeof(double) );
|
201
202
|
for(leg = 0; leg < DATAPOINTS; leg++) {
|
202
203
|
metrics[metric][leg] = 0.0;
|
@@ -418,10 +419,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
418
419
|
sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1], dir_sign);
|
419
420
|
}
|
420
421
|
if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
|
421
|
-
metrics[0][point_pos]
|
422
|
-
metrics[1][point_pos]
|
422
|
+
metrics[0][point_pos] = sim[NL-1];
|
423
|
+
metrics[1][point_pos] = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
|
424
|
+
metrics[3][point_pos] = knockedLeg;
|
423
425
|
metrics[0][point_pos+1] = sim_dash[NL-1];
|
424
426
|
metrics[1][point_pos+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
|
427
|
+
metrics[3][point_pos+1] = knockedLeg_dash;
|
425
428
|
}
|
426
429
|
} else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
|
427
430
|
if(knockedLeg >= 0){
|
@@ -440,10 +443,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
440
443
|
}
|
441
444
|
|
442
445
|
if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
|
443
|
-
metrics[0][point_pos]
|
444
|
-
metrics[1][point_pos]
|
446
|
+
metrics[0][point_pos] = (knockedLeg >= 0) ? sim[knockedLeg] : sim[NL-1];
|
447
|
+
metrics[1][point_pos] = ( *( Xs_array + 0 ) );
|
448
|
+
metrics[3][point_pos] = knockedLeg;
|
445
449
|
metrics[0][point_pos+1] = (knockedLeg_dash >= 0) ? sim[knockedLeg_dash] : sim[NL-1];
|
446
450
|
metrics[1][point_pos+1] = ( *( Xs_array + 0 ) );
|
451
|
+
metrics[3][point_pos+1] = knockedLeg_dash;
|
447
452
|
}
|
448
453
|
|
449
454
|
} else if( KType == ABSOLUTE || KType == PIVOT_ABSOLUTE || KType == COLLAR_ABSOLUTE || KType == DOUBLE_STRIKE_ABSOLUTE ) {
|
@@ -572,17 +577,20 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
572
577
|
pvs_pos[sim_count + 1] = sim_dash_pos_sum;
|
573
578
|
pvs_neg[sim_count] = sim_neg_sum;
|
574
579
|
pvs_neg[sim_count + 1] = sim_dash_neg_sum;
|
575
|
-
if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
|
576
|
-
metrics[2][point_pos] = sim_pos_sum;
|
577
|
-
metrics[2][point_pos+1] = sim_dash_pos_sum;
|
578
|
-
point_pos += 2;
|
579
|
-
}
|
580
580
|
|
581
|
-
|
582
|
-
|
583
|
-
|
584
|
-
|
585
|
-
|
581
|
+
|
582
|
+
if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
|
583
|
+
if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
|
584
|
+
metrics[2][point_pos] = sim_pos_sum;
|
585
|
+
metrics[2][point_pos+1] = sim_dash_pos_sum;
|
586
|
+
point_pos += 2;
|
587
|
+
}
|
588
|
+
}
|
589
|
+
else{
|
590
|
+
//
|
591
|
+
// increment metric storing point by 4
|
592
|
+
// Note: no limit condition here
|
593
|
+
//
|
586
594
|
if( (sim_count + 2) % INTERVAL == 0 ) {
|
587
595
|
// rb_p(rb_str_new2("T:"));
|
588
596
|
// rb_p(INT2NUM(point_pos));
|
@@ -623,7 +631,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
623
631
|
VALUE final_metrics = rb_ary_new();
|
624
632
|
|
625
633
|
if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
|
626
|
-
for(metric = 0; metric <
|
634
|
+
for(metric = 0; metric < BARRIER_DP; metric++) {
|
627
635
|
VALUE leg_metrics = rb_ary_new();
|
628
636
|
|
629
637
|
for(leg = 0; leg < DATAPOINTS; leg++) {
|
@@ -655,7 +663,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
655
663
|
//
|
656
664
|
// free your arrays from memory once you're done using them
|
657
665
|
//
|
658
|
-
int dp = (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE) ?
|
666
|
+
int dp = (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE) ? BARRIER_DP : DATAPOINTS;
|
659
667
|
for(metric = 0; metric < dp; metric++) {
|
660
668
|
free( metrics[metric] );
|
661
669
|
}
|
metadata
CHANGED
@@ -1,7 +1,7 @@
|
|
1
1
|
--- !ruby/object:Gem::Specification
|
2
2
|
name: tarf_monte_carlo
|
3
3
|
version: !ruby/object:Gem::Version
|
4
|
-
version: '3.
|
4
|
+
version: '3.47'
|
5
5
|
platform: ruby
|
6
6
|
authors:
|
7
7
|
- Vivek Routh
|
@@ -140,7 +140,7 @@ required_rubygems_version: !ruby/object:Gem::Requirement
|
|
140
140
|
- !ruby/object:Gem::Version
|
141
141
|
version: '0'
|
142
142
|
requirements: []
|
143
|
-
rubygems_version: 3.0.
|
143
|
+
rubygems_version: 3.0.8
|
144
144
|
signing_key:
|
145
145
|
specification_version: 4
|
146
146
|
summary: Monte Carlo Simulation.
|