tarf_monte_carlo 3.50 → 3.55

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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-  data.tar.gz: 51ccc1a2352a018d9db80dd1b95acb51739c8ff51e6e80f73a8799444f381b21
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+  data.tar.gz: a6922adce8b10804cf0b7c09e837d91736863c7f97de606d1d7bd0ec2c80fe11
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-  data.tar.gz: 6df19f6a90f00d43c43b76a86e287ba2358ea63b47e68b75aa5fbc104ed562408dfbc0de249609b4446dafdda6a2fc54ab29cadc00f0d85d6d4025be02bd1b0a
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -45,6 +45,8 @@
 #define FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE 14
 #define FX_AMERICAN_BARRIER_WINDOW_KNOCKIN 15
 #define FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT 16
+#define FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP 17
+#define FX_AMERICAN_BARRIER_KIKO_UNTIL_KI 18
 
 #define DATAPOINTS 200 // data for plotting
 #define BARRIER_DP 4 // data for plotting
@@ -62,7 +64,8 @@ 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);
+bool double_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 );
@@ -98,9 +101,16 @@ double get_equivalent_notional(int conversion_sign, double notional, float rate)
 
 double get_equivalent_rebate(int conversion_sign, double rebate, float rate, int dir_sign){
   double total = (conversion_sign == 1) ? (rebate * rate) : rebate;
-  return (-1 * dir_sign * total);
+  return (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 || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI);
 }
 
+bool double_barrier_variations(int KType){
+  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);
+}
 // 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);
@@ -188,11 +198,11 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       LSts_array[leg] = NUM2DBL( rb_ary_entry(LSts, leg) );
       USts_array[leg] = NUM2DBL( rb_ary_entry(USts, leg) );
     }
-  } else if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE) {
+  } else if (barrier_variations(KType)) {
     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){
+      if(double_barrier_variations(KType)){
         Barrier2_array[leg]  = NUM2DBL( rb_ary_entry(Brs2, leg) );
       }
     }
@@ -202,7 +212,7 @@ 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){
+  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) );
@@ -238,8 +248,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       sim_dash_neg[leg] = 0.0;
     }
 
-    int knockedLeg = -1;
-    int knockedLeg_dash = -1;
+    int knockedLeg = -1, knockedLeg_dash = -1, knockedLeg2 = -1, knockedLeg2_dash = -1;
     // legs loop start
     for( leg = 0; leg < NL; ++leg ) {
       double eps, eps_dash, drift, vSqrdt, profit_loss, profit_loss_dash;
@@ -269,6 +278,23 @@ 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_KIKO_UNTIL_KI || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP){
+        profit_loss = Spot;
+        profit_loss_dash = Spot_dash;
+
+        if(knockedLeg == -1 && (Spot >= *(Barrier_array + leg))){
+          knockedLeg = leg;
+        }
+        if(knockedLeg_dash == -1 && (Spot_dash >= *(Barrier_array + leg))){
+          knockedLeg_dash = leg;
+        }
+
+        if(knockedLeg2 == -1 && (Spot >= *(Barrier2_array + leg))){
+          knockedLeg2 = leg;
+        }
+        if(knockedLeg2_dash == -1 && (Spot_dash >= *(Barrier2_array + leg))){
+          knockedLeg2_dash = leg;
+        }
       } else if(KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT){
         profit_loss = Spot;
         profit_loss_dash = Spot_dash;
@@ -402,7 +428,7 @@ 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;
@@ -420,7 +446,7 @@ 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);
@@ -443,7 +469,66 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         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){
+    } else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP){
+      if(knockedLeg2 >= 0){
+        sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1], dir_sign);
+      } else 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);
+      }
+      if(knockedLeg2_dash >= 0){
+        sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1], dir_sign);
+      } else if(knockedLeg_dash >= 0) {
+        double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
+        sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
+      }
+
+      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[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_KIKO_UNTIL_KI){
+      if(knockedLeg >= 0 && knockedLeg2 >= 0){
+        if(knockedLeg < knockedLeg2){
+          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);
+        } else {
+          sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
+        }
+      } else if(knockedLeg2 >= 0){
+        sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
+      } else 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);
+      }
+
+      if(knockedLeg_dash >= 0 && knockedLeg2_dash >= 0){
+        if(knockedLeg_dash < knockedLeg2_dash){
+          double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
+          sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
+        } else {
+          sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[knockedLeg2_dash], dir_sign);
+        }
+      } else if(knockedLeg2_dash >= 0){
+        sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[knockedLeg2_dash], dir_sign);
+      } else if(knockedLeg_dash >= 0) {
+        double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
+        sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
+      }
+
+      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[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 || 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);
       }
@@ -575,7 +660,7 @@ 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]);
@@ -595,8 +680,8 @@ 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;
@@ -646,8 +731,8 @@ 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){
+
+  if (barrier_variations(KType)){
     for(metric = 0; metric < BARRIER_DP; metric++) {
       VALUE leg_metrics = rb_ary_new();
 
@@ -680,7 +765,7 @@ 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) ? BARRIER_DP : DATAPOINTS; 
+  int dp = barrier_variations(KType) ? 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 = "3.50"
+  VERSION = "3.55"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.50'
+  version: '3.55'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-10-07 00:00:00.000000000 Z
+date: 2020-10-10 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler