tarf_monte_carlo 3.45 → 3.51

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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-  data.tar.gz: 83b9cd1f3a9aecab8068ca3f95b80d47aebc3d6bb4a3eaa2fa830eabcd826fe5
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+  data.tar.gz: d79b3c339ce40660d27b38e88abdf3ec50c0cb57062c28354bb1cc393f0269a8
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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
 
@@ -59,7 +62,7 @@ void Init_tarf_monte_carlo();
 double european_payoff(double, double, int, int, double);
 double get_equivalent_notional(int, double, float);
 double get_equivalent_rebate(int, double, float, int);
-
+bool barrier_variations(int);
 // Prototype for our methods - methods are prefixed by 'method_' here
 VALUE method_box_muller( VALUE );
 VALUE method_run_monte_carlo( VALUE, VALUE );
@@ -98,6 +101,9 @@ double get_equivalent_rebate(int conversion_sign, double rebate, float rate, int
   return (-1 * dir_sign * total);
 }
 
+bool barrier_variations(int KType){
+  return (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT);
+}
 // 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);
@@ -142,6 +148,7 @@ 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 +163,7 @@ 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) {
@@ -187,6 +195,9 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     for (leg = 0; leg < NL; ++leg) {
       Barrier_array[leg]  = NUM2DBL( rb_ary_entry(Brs, leg) );
       Rebate_array[leg]   = NUM2DBL( rb_ary_entry(Rbts, leg) );
+      if(KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT){
+        Barrier2_array[leg]  = NUM2DBL( rb_ary_entry(Brs2, leg) );
+      }
     }
   }
 
@@ -194,16 +205,16 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   // first create a 1-D array of pointers, and then, for each array entry, create another 1-D array.
   //
   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 < 4; metric++ ) {
+  if (barrier_variations(KType)){
+    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 +272,16 @@ 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 ));
@@ -384,7 +405,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       //
       // Store spot and spot dash
       //
-      if (!(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE)){
+      if (!(barrier_variations(KType))){
         if( point_pos <= SIM_LIMIT && (sim_count + 2) % INTERVAL == 0 ) {
           // rb_p(rb_str_new2("Leg:Spots"));
           metrics[ point_pos ][ leg ] = Spot;
@@ -402,7 +423,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     // legs loop end
     // start from the Knock value
     double ko_so_far = K, ko_so_far_dash = K;
-    if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE){
+    if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN){
       if(knockedLeg >= 0){
         double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg ) ), sim[NL-1]);
         sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
@@ -418,17 +439,14 @@ 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[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){
+    } else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT){
       if(knockedLeg >= 0){
         sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg], dir_sign);
       }
@@ -445,10 +463,12 @@ 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 ) {
@@ -558,7 +578,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       //
       // store and send whichever payoff you want
       //
-      if (!(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE)){
+      if (!(barrier_variations(KType))){
         if( point_pos <= SIM_LIMIT && (sim_count + 2) % INTERVAL == 0 ) {
           // rb_p(rb_str_new2("Leg:Payoffs"));
           metrics[ point_pos + 1 ][ leg ] = (sim_pos[leg] + sim_neg[leg]);
@@ -578,11 +598,11 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     pvs_neg[sim_count]      = sim_neg_sum;
     pvs_neg[sim_count + 1]  = sim_dash_neg_sum;
 
-    
-    if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
+
+    if (barrier_variations(KType)){
       if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
-        // metrics[2][point_pos]   = sim_pos_sum;
-        // metrics[2][point_pos+1] = sim_dash_pos_sum;
+        metrics[2][point_pos]   = sim_pos_sum;
+        metrics[2][point_pos+1] = sim_dash_pos_sum;
         point_pos += 2;
       }
     }
@@ -629,9 +649,9 @@ 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 < 4; metric++) {
+
+  if (barrier_variations(KType)){
+    for(metric = 0; metric < BARRIER_DP; metric++) {
       VALUE leg_metrics = rb_ary_new();
 
       for(leg = 0; leg < DATAPOINTS; leg++) {
@@ -663,11 +683,11 @@ 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) ? 4 : DATAPOINTS; 
-  // for(metric = 0; metric < dp; metric++) {
-  //   free( metrics[metric] );
-  // }
-  // free(metrics);
+  int dp = barrier_variations(KType) ? BARRIER_DP : DATAPOINTS;
+  for(metric = 0; metric < dp; metric++) {
+    free( metrics[metric] );
+  }
+  free(metrics);
 
   return final_pvs;
 }

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.45"
+  VERSION = "3.51"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.45'
+  version: '3.51'
 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.