tarf_monte_carlo 3.49 → 3.54
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- checksums.yaml +4 -4
- data/ext/tarf_monte_carlo/tarf_monte_carlo.c +66 -17
- data/lib/tarf_monte_carlo/version.rb +1 -1
- metadata +2 -2
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: e0d7cdafaf4865a66b7bbe6452a9ad3dd90c3ced070778cd288bf304cb3e2417
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data.tar.gz: 79894b25d74fc53dfe3151009122e846323b18e31ba4ab71f4cced7edcad6eae
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: c513bd0d5cbc5b2d8e3a66334131cf0d95b094510a6fb42f1862b478448b605c1e04a2714f552e9a7234bf1eeb1bd3297e034dbec69445e13ad2bf3ff2c65b58
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data.tar.gz: c0ce2f67ed9a9c32f1ddaef031350535c2522bd6bfde0c80bb493189b684f68aab392fbbf773b85d1d92a11fc3d488501e5d5e8ca87e3d8f9458694c8297f9e3
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@@ -45,6 +45,8 @@
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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 FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP 17
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#define FX_AMERICAN_BARRIER_KIKO_UNTIL_KI 18
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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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@@ -62,7 +64,8 @@ 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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bool double_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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@@ -98,9 +101,16 @@ 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 || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI);
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}
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bool double_barrier_variations(int KType){
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return (KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI);
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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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@@ -188,20 +198,21 @@ 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(double_barrier_variations(KType)){
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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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} else 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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// 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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@@ -237,8 +248,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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sim_dash_neg[leg] = 0.0;
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}
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int knockedLeg = -1;
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int knockedLeg_dash = -1;
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int knockedLeg = -1, knockedLeg_dash = -1, knockedLeg2 = -1, knockedLeg2_dash = -1;
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// legs loop start
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for( leg = 0; leg < NL; ++leg ) {
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double eps, eps_dash, drift, vSqrdt, profit_loss, profit_loss_dash;
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@@ -268,6 +278,23 @@ 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_KIKO_UNTIL_KI || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP){
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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))){
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knockedLeg = leg;
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}
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if(knockedLeg_dash == -1 && (Spot_dash >= *(Barrier_array + leg))){
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knockedLeg_dash = leg;
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}
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if(knockedLeg2 == -1 && (Spot >= *(Barrier2_array + leg))){
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knockedLeg2 = leg;
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}
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if(knockedLeg2_dash == -1 && (Spot_dash >= *(Barrier2_array + leg))){
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knockedLeg2_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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@@ -401,7 +428,7 @@ 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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@@ -419,7 +446,7 @@ 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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@@ -442,7 +469,29 @@ 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 ==
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} else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI){
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if(knockedLeg2 >= 0){
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sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1], dir_sign);
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} else 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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}
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if(knockedLeg2_dash >= 0){
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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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} else if(knockedLeg_dash >= 0) {
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double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
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sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
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}
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if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
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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[3][point_pos+1] = knockedLeg_dash;
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}
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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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@@ -574,7 +623,7 @@ 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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@@ -594,8 +643,8 @@ 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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@@ -645,8 +694,8 @@ 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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@@ -679,7 +728,7 @@ 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: '3.54'
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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: 2020-10-10 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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