tarf_monte_carlo 3.47 → 3.53
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- checksums.yaml +4 -4
- data/ext/tarf_monte_carlo/tarf_monte_carlo.c +34 -14
- 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: 60b2cf5e21d6d9a92dbef8d1988f1a0988b31279d7010aed5eec76327968bd29
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data.tar.gz: b93ce27d9a66eb82683d3b1dff6aeb9c2bd98796bca3ca07fca85ab0fdf007d3
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: 6231ef9420bd8dd40b08344732b75b741b76e6665d2aa1b89948b9f4ea96540b460759a1810cb07e64d2595dd3b978554eca426ca250d9f2f650b6955598eab5
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data.tar.gz: 68ee5e27fb0c8789362bce8af4f69fa1f7e428e04752f298d6b053f4c23d53f703968eb3eb2c0ce011f20e315237bd3ee5701c702def7f748367d9bab0525a3c
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@@ -43,6 +43,8 @@
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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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@@ -60,7 +62,7 @@ void Init_tarf_monte_carlo();
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double european_payoff(double, double, int, int, double);
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double get_equivalent_notional(int, double, float);
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double get_equivalent_rebate(int, double, float, int);
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-
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bool barrier_variations(int);
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// Prototype for our methods - methods are prefixed by 'method_' here
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VALUE method_box_muller( VALUE );
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VALUE method_run_monte_carlo( VALUE, VALUE );
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@@ -96,9 +98,12 @@ double get_equivalent_notional(int conversion_sign, double notional, float rate)
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double get_equivalent_rebate(int conversion_sign, double rebate, float rate, int dir_sign){
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double total = (conversion_sign == 1) ? (rebate * rate) : rebate;
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return (
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return (dir_sign * total);
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}
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bool barrier_variations(int KType){
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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);
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}
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// main method for running monte carlo simulation from sidekiq worker/outside method
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VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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VALUE MCInputs = rb_ary_shift(args);
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@@ -143,6 +148,7 @@ 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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@@ -157,6 +163,7 @@ 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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@@ -184,10 +191,13 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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LSts_array[leg] = NUM2DBL( rb_ary_entry(LSts, leg) );
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USts_array[leg] = NUM2DBL( rb_ary_entry(USts, leg) );
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}
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} else if (KType
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} else if (barrier_variations(KType)) {
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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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@@ -195,7 +205,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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// first create a 1-D array of pointers, and then, for each array entry, create another 1-D array.
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//
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double **metrics;
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if (KType
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if (barrier_variations(KType)){
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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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@@ -204,7 +214,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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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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@@ -262,6 +272,16 @@ 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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@@ -385,7 +405,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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//
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// Store spot and spot dash
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//
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if (!(KType
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if (!(barrier_variations(KType))){
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if( point_pos <= SIM_LIMIT && (sim_count + 2) % INTERVAL == 0 ) {
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// rb_p(rb_str_new2("Leg:Spots"));
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metrics[ point_pos ][ leg ] = Spot;
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@@ -403,7 +423,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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// legs loop end
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// start from the Knock value
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double ko_so_far = K, ko_so_far_dash = K;
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if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE){
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if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN){
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if(knockedLeg >= 0){
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double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg ) ), sim[NL-1]);
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sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
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@@ -426,7 +446,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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metrics[1][point_pos+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
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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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} else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT){
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if(knockedLeg >= 0){
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sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg], dir_sign);
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}
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@@ -558,7 +578,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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//
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// store and send whichever payoff you want
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//
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if (!(KType
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if (!(barrier_variations(KType))){
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if( point_pos <= SIM_LIMIT && (sim_count + 2) % INTERVAL == 0 ) {
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// rb_p(rb_str_new2("Leg:Payoffs"));
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metrics[ point_pos + 1 ][ leg ] = (sim_pos[leg] + sim_neg[leg]);
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@@ -578,8 +598,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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pvs_neg[sim_count] = sim_neg_sum;
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pvs_neg[sim_count + 1] = sim_dash_neg_sum;
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if (KType
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if (barrier_variations(KType)){
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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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@@ -629,8 +649,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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//
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// rb_p(rb_str_new2("Converting metrics"));
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VALUE final_metrics = rb_ary_new();
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if (KType
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if (barrier_variations(KType)){
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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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@@ -663,7 +683,7 @@ 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
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int dp = barrier_variations(KType) ? 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: '3.53'
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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: 2020-10-08 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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