tarf_monte_carlo 3.51 → 3.56

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -45,6 +45,10 @@
 #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 FX_AMERICAN_BARRIER_BINARY_IN_DISCRETE 19
+#define FX_AMERICAN_BARRIER_BINARY_OUT_DISCRETE 20
 
 #define DATAPOINTS 200 // data for plotting
 #define BARRIER_DP 4 // data for plotting
@@ -63,6 +67,7 @@ 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 );
@@ -98,11 +103,15 @@ 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);
+  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 || KType == FX_AMERICAN_BARRIER_BINARY_IN_DISCRETE || KType == FX_AMERICAN_BARRIER_BINARY_OUT_DISCRETE);
+}
+
+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 ) {
@@ -122,6 +131,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   int NL                = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("legs_count")) );
   int BS                = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("buy_sell")) );
   double K              = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("knockout")) );
+  int CP                = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("callput")) );
   int KType             = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("knockout_type")) );
   double S              = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("spot_rate")) );
   int Ko_compare_mult   = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("multiplier")) );
@@ -191,11 +201,11 @@ 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) );
       }
     }
@@ -241,8 +251,7 @@ 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;
@@ -259,7 +268,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       Spot = Spot * exp( drift + vSqrdt * eps );
       Spot_dash = Spot_dash * exp( drift + vSqrdt * eps_dash );
 
-      if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
+      if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE || KType == FX_AMERICAN_BARRIER_BINARY_IN_DISCRETE || KType == FX_AMERICAN_BARRIER_BINARY_OUT_DISCRETE){
         profit_loss = Spot;
         profit_loss_dash = Spot_dash;
 
@@ -272,6 +281,23 @@ 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;
@@ -438,6 +464,83 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       else{
         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[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_BINARY_IN_DISCRETE){
+      if(knockedLeg >= 0){
+        int legIndex = (CP == 2) ? knockedLeg : (NL - 1);
+        sim_pos[legIndex] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[legIndex], dir_sign);
+      }
+
+      if(knockedLeg_dash >= 0){
+        int legIndex_dash = (CP == 2) ? knockedLeg_dash : (NL - 1);
+        sim_dash_pos[legIndex_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[legIndex_dash], dir_sign);
+      }
+    } else if(KType == FX_AMERICAN_BARRIER_BINARY_OUT_DISCRETE){
+      if(knockedLeg == -1){
+        sim_pos[NL - 1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL - 1], dir_sign);
+      }
+
+      if(knockedLeg_dash == -1){
+        sim_dash_pos[NL - 1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL - 1], dir_sign);
+      }
+    } 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;

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.51"
+  VERSION = "3.56"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.51'
+  version: '3.56'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-10-07 00:00:00.000000000 Z
+date: 2020-10-12 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler