tarf_monte_carlo 3.43 → 3.49

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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+  data.tar.gz: f80d07fdca106e815b442561331e1cfce8a7772e5e8b9bfb830cf6b043432fcd
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -43,8 +43,11 @@
 
 #define FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE 13
 #define FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE 14
+#define FX_AMERICAN_BARRIER_WINDOW_KNOCKIN 15
+#define FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT 16
 
 #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
 
@@ -142,6 +145,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   double *USts_array  = ( double* ) malloc( NL * sizeof(double) );
   double *TempNs_array = ( double* ) malloc( NL * sizeof(double) );
   double *Barrier_array = ( double* ) malloc( NL * sizeof(double) );
+  double *Barrier2_array = ( double* ) malloc( NL * sizeof(double) );
   double *Rebate_array = ( double* ) malloc( NL * sizeof(double) );
 
   VALUE Ls = rb_hash_aref(MCInputs, rb_str_new2("leverage_ratios") );
@@ -156,6 +160,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   VALUE LSts = rb_hash_aref(MCInputs, rb_str_new2("lower_strikes") );
   VALUE USts = rb_hash_aref(MCInputs, rb_str_new2("upper_strikes") );
   VALUE Brs = rb_hash_aref(MCInputs, rb_str_new2("barriers") );
+  VALUE Brs2 = rb_hash_aref(MCInputs, rb_str_new2("barriers2") );
   VALUE Rbts = rb_hash_aref(MCInputs, rb_str_new2("rebates") );
 
   for (leg = 0; leg < NL; ++leg) {
@@ -188,6 +193,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       Barrier_array[leg]  = NUM2DBL( rb_ary_entry(Brs, leg) );
       Rebate_array[leg]   = NUM2DBL( rb_ary_entry(Rbts, leg) );
     }
+  } else if(KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT){
+    Barrier2_array[leg]  = NUM2DBL( rb_ary_entry(Brs2, leg) );
   }
 
   //
@@ -195,15 +202,15 @@ 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;
       }
     }
   }
-  else{  
+  else{
     metrics = ( double** ) malloc( DATAPOINTS * sizeof(double*) );
     for( metric = 0; metric < DATAPOINTS; metric++ ) {
       metrics[metric] = ( double* ) malloc( NL * sizeof(double) );
@@ -261,6 +268,16 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         if(knockedLeg_dash == -1 && knockin_dash >= 0){
           knockedLeg_dash = leg;
         }
+      } else if(KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT){
+        profit_loss = Spot;
+        profit_loss_dash = Spot_dash;
+
+        if(knockedLeg == -1 && (Spot <= *(Barrier_array + leg) || Spot >= *(Barrier2_array + leg))){
+          knockedLeg = leg;
+        }
+        if(knockedLeg_dash == -1 && (Spot_dash <= *(Barrier_array + leg) || Spot_dash >= *(Barrier2_array + leg))){
+          knockedLeg_dash = leg;
+        }
       } else if ( KType == DOUBLE_STRIKE_POINTS || KType == DOUBLE_STRIKE_ABSOLUTE || KType == DOUBLE_STRIKE_LEGS ) {
         if ( Spot < *( LSts_array + leg ) ) {
           profit_loss = Spot - (*( LSts_array + leg ));
@@ -418,10 +435,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1], dir_sign);
       }
       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]   = sim[NL-1];
+        metrics[1][point_pos]   = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
+        metrics[3][point_pos]   = knockedLeg;
         metrics[0][point_pos+1] = sim_dash[NL-1];
         metrics[1][point_pos+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
+        metrics[3][point_pos+1] = knockedLeg_dash;
       }
     } else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
       if(knockedLeg >= 0){
@@ -440,10 +459,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       }
 
       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]   = (knockedLeg >= 0) ? sim[knockedLeg] : sim[NL-1];
+        metrics[1][point_pos]   = ( *( Xs_array + 0 ) );
+        metrics[3][point_pos]   = knockedLeg;
         metrics[0][point_pos+1] = (knockedLeg_dash >= 0) ? sim[knockedLeg_dash] : sim[NL-1];
         metrics[1][point_pos+1] = ( *( Xs_array + 0 ) );
+        metrics[3][point_pos+1] = knockedLeg_dash;
       }
 
     } else if( KType == ABSOLUTE || KType == PIVOT_ABSOLUTE || KType == COLLAR_ABSOLUTE || KType == DOUBLE_STRIKE_ABSOLUTE ) {
@@ -572,17 +593,20 @@ 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 ((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;
-    }
 
-    //
-    // increment metric storing point by 4
-    // Note: no limit condition here
-    //
-    if (!(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE)){
+    
+    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));
@@ -623,7 +647,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   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++) {
@@ -655,7 +679,7 @@ 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 = "3.43"
+  VERSION = "3.49"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.43'
+  version: '3.49'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-10-06 00:00:00.000000000 Z
+date: 2020-10-07 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
@@ -140,7 +140,7 @@ required_rubygems_version: !ruby/object:Gem::Requirement
     - !ruby/object:Gem::Version
       version: '0'
 requirements: []
-rubygems_version: 3.0.8
+rubygems_version: 3.0.6
 signing_key: 
 specification_version: 4
 summary: Monte Carlo Simulation.