tarf_monte_carlo 3.44 → 3.50
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- checksums.yaml +4 -4
- data/ext/tarf_monte_carlo/tarf_monte_carlo.c +32 -15
- data/lib/tarf_monte_carlo/version.rb +1 -1
- metadata +3 -3
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: d378d28787178efe7bf21a742d34f732738ca1dd0d6cc88aa82726676fb1c767
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data.tar.gz: 51ccc1a2352a018d9db80dd1b95acb51739c8ff51e6e80f73a8799444f381b21
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: 6cac6595d2997a12b7d39835fbe6e072e6ab052ad90aa9f0579fb4d3e3355bb0ef947ed818b36308ccde5239aef682f299844fda9fdd4d1f6925dc2238f642fb
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data.tar.gz: 6df19f6a90f00d43c43b76a86e287ba2358ea63b47e68b75aa5fbc104ed562408dfbc0de249609b4446dafdda6a2fc54ab29cadc00f0d85d6d4025be02bd1b0a
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@@ -43,8 +43,11 @@
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#define FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE 13
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#define FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE 14
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#define FX_AMERICAN_BARRIER_WINDOW_KNOCKIN 15
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#define FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT 16
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#define DATAPOINTS 200 // data for plotting
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#define BARRIER_DP 4 // data for plotting
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#define INTERVAL 50
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#define SIM_LIMIT 196 // 196 + 4 = 200 simulations nedded
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@@ -142,6 +145,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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double *USts_array = ( double* ) malloc( NL * sizeof(double) );
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double *TempNs_array = ( double* ) malloc( NL * sizeof(double) );
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double *Barrier_array = ( double* ) malloc( NL * sizeof(double) );
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double *Barrier2_array = ( double* ) malloc( NL * sizeof(double) );
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double *Rebate_array = ( double* ) malloc( NL * sizeof(double) );
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VALUE Ls = rb_hash_aref(MCInputs, rb_str_new2("leverage_ratios") );
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@@ -156,6 +160,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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VALUE LSts = rb_hash_aref(MCInputs, rb_str_new2("lower_strikes") );
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VALUE USts = rb_hash_aref(MCInputs, rb_str_new2("upper_strikes") );
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VALUE Brs = rb_hash_aref(MCInputs, rb_str_new2("barriers") );
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VALUE Brs2 = rb_hash_aref(MCInputs, rb_str_new2("barriers2") );
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VALUE Rbts = rb_hash_aref(MCInputs, rb_str_new2("rebates") );
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for (leg = 0; leg < NL; ++leg) {
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@@ -187,6 +192,9 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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for (leg = 0; leg < NL; ++leg) {
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Barrier_array[leg] = NUM2DBL( rb_ary_entry(Brs, leg) );
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Rebate_array[leg] = NUM2DBL( rb_ary_entry(Rbts, leg) );
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if(KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT){
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Barrier2_array[leg] = NUM2DBL( rb_ary_entry(Brs2, leg) );
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}
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}
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}
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@@ -195,15 +203,15 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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//
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double **metrics;
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if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
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-
metrics = ( double** ) malloc(
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for( metric = 0; metric <
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metrics = ( double** ) malloc( BARRIER_DP * sizeof(double*) );
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for( metric = 0; metric < BARRIER_DP; 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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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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@@ -261,6 +269,16 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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if(knockedLeg_dash == -1 && knockin_dash >= 0){
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knockedLeg_dash = leg;
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}
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} else if(KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT){
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profit_loss = Spot;
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profit_loss_dash = Spot_dash;
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if(knockedLeg == -1 && (Spot <= *(Barrier_array + leg) || Spot >= *(Barrier2_array + leg))){
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knockedLeg = leg;
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}
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if(knockedLeg_dash == -1 && (Spot_dash <= *(Barrier_array + leg) || Spot_dash >= *(Barrier2_array + leg))){
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knockedLeg_dash = leg;
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}
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} else if ( KType == DOUBLE_STRIKE_POINTS || KType == DOUBLE_STRIKE_ABSOLUTE || KType == DOUBLE_STRIKE_LEGS ) {
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if ( Spot < *( LSts_array + leg ) ) {
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profit_loss = Spot - (*( LSts_array + leg ));
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@@ -418,14 +436,11 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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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 ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
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metrics[0][point_pos]
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metrics[1][point_pos]
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metrics[0][point_pos] = sim[NL-1];
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metrics[1][point_pos] = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
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metrics[3][point_pos] = knockedLeg;
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metrics[0][point_pos+1] = sim_dash[NL-1];
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metrics[1][point_pos+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
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metrics[2][point_pos] = sim_pos[NL-1];
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metrics[2][point_pos+1] = sim_dash_pos[NL-1];
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metrics[3][point_pos] = knockedLeg;
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metrics[3][point_pos+1] = knockedLeg_dash;
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}
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} else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
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@@ -445,10 +460,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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}
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if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
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metrics[0][point_pos]
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metrics[1][point_pos]
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metrics[0][point_pos] = (knockedLeg >= 0) ? sim[knockedLeg] : sim[NL-1];
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metrics[1][point_pos] = ( *( Xs_array + 0 ) );
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metrics[3][point_pos] = knockedLeg;
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metrics[0][point_pos+1] = (knockedLeg_dash >= 0) ? sim[knockedLeg_dash] : sim[NL-1];
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metrics[1][point_pos+1] = ( *( Xs_array + 0 ) );
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metrics[3][point_pos+1] = knockedLeg_dash;
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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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@@ -581,8 +598,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
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if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
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metrics[2][point_pos] = sim_pos_sum;
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metrics[2][point_pos+1] = sim_dash_pos_sum;
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point_pos += 2;
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}
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}
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@@ -631,7 +648,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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VALUE final_metrics = rb_ary_new();
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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 <
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for(metric = 0; metric < BARRIER_DP; 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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@@ -663,7 +680,7 @@ 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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int dp = (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE) ?
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int dp = (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE) ? BARRIER_DP : DATAPOINTS;
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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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metadata
CHANGED
@@ -1,14 +1,14 @@
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--- !ruby/object:Gem::Specification
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name: tarf_monte_carlo
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version: !ruby/object:Gem::Version
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version: '3.
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version: '3.50'
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platform: ruby
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authors:
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- Vivek Routh
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autorequire:
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bindir: exe
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cert_chain: []
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date: 2020-10-
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date: 2020-10-07 00:00:00.000000000 Z
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dependencies:
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- !ruby/object:Gem::Dependency
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name: bundler
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@@ -140,7 +140,7 @@ required_rubygems_version: !ruby/object:Gem::Requirement
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- !ruby/object:Gem::Version
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version: '0'
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requirements: []
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rubygems_version: 3.0.
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rubygems_version: 3.0.6
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signing_key:
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specification_version: 4
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summary: Monte Carlo Simulation.
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