tarf_monte_carlo 3.52 → 3.57
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- checksums.yaml +4 -4
- data/ext/tarf_monte_carlo/tarf_monte_carlo.c +147 -6
- 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: 37cf728f754098494cffed6ce0f9f8c3dde4e593702a748cdc8bca2d1c5182cd
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data.tar.gz: 76e9c21b88d3ecb5925c525420fc704fcf8e8cf992b2db3bd9f4367c1d20396c
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: fb5a2d931a8ea07cf8fa49b2ca4ef2341474fbf59431b2fb16c8188df43018c146fd70dbb0f907ce921657b01aca8c4e35600ded2075e5bd16d2435619565671
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data.tar.gz: 490bacf7090a637d5c3b9f54176c80d5419f13f5b8e4320634977bc1815b3f8430dca1072c347b07b268cdec0fc152959e7d4d2f4d459dc0a3c6164516ffb5b5
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@@ -45,6 +45,12 @@
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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 FX_AMERICAN_BARRIER_BINARY_IN_DISCRETE 19
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#define FX_AMERICAN_BARRIER_BINARY_OUT_DISCRETE 20
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#define FX_AMERICAN_BARRIER_BINARY_CALLPUT_IN_DISCRETE 21
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#define FX_AMERICAN_BARRIER_BINARY_CALLPUT_OUT_DISCRETE 22
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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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@@ -63,6 +69,7 @@ double european_payoff(double, double, int, int, double);
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63
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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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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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@@ -98,11 +105,15 @@ 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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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 || KType == FX_AMERICAN_BARRIER_BINARY_CALLPUT_IN_DISCRETE || KType == FX_AMERICAN_BARRIER_BINARY_CALLPUT_OUT_DISCRETE);
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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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@@ -122,6 +133,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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int NL = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("legs_count")) );
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int BS = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("buy_sell")) );
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double K = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("knockout")) );
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int CP = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("callput")) );
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int KType = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("knockout_type")) );
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double S = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("spot_rate")) );
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int Ko_compare_mult = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("multiplier")) );
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@@ -195,7 +207,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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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
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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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@@ -241,8 +253,7 @@ 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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@@ -259,7 +270,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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Spot = Spot * exp( drift + vSqrdt * eps );
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Spot_dash = Spot_dash * exp( drift + vSqrdt * eps_dash );
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-
if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
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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 || KType == FX_AMERICAN_BARRIER_BINARY_CALLPUT_IN_DISCRETE || KType == FX_AMERICAN_BARRIER_BINARY_CALLPUT_OUT_DISCRETE){
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profit_loss = Spot;
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profit_loss_dash = Spot_dash;
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@@ -272,6 +283,23 @@ 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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@@ -438,6 +466,119 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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else{
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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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}
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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_BINARY_IN_DISCRETE || KType == FX_AMERICAN_BARRIER_BINARY_CALLPUT_IN_DISCRETE){
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if(knockedLeg >= 0){
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int legIndex = (CP == 2) ? knockedLeg : (NL - 1);
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int itm = true;
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if (CP <= 1){
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double tempPayOff = european_payoff(( *( Xs_array + legIndex ) ), sim[NL-1], cp_sign, dir_sign, 1);
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if(tempPayOff == 0){
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itm = false;
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}
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}
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if (itm){
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sim_pos[legIndex] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[legIndex], dir_sign);
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}
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}
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if(knockedLeg_dash >= 0){
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int legIndex_dash = (CP == 2) ? knockedLeg_dash : (NL - 1);
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int itm = true;
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if (CP <= 1){
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double tempPayOff = european_payoff(( *( Xs_array + legIndex_dash ) ), sim_dash[NL-1], cp_sign, dir_sign, 1);
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if(tempPayOff == 0){
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itm = false;
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}
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}
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if (itm){
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sim_dash_pos[legIndex_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[legIndex_dash], dir_sign);
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}
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}
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} else if(KType == FX_AMERICAN_BARRIER_BINARY_OUT_DISCRETE || KType == FX_AMERICAN_BARRIER_BINARY_CALLPUT_OUT_DISCRETE){
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if(knockedLeg == -1){
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int itm = true;
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if (CP <= 1){
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double tempPayOff = european_payoff(( *( Xs_array + 0 ) ), sim[NL-1], cp_sign, dir_sign, 1);
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if(tempPayOff == 0){
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itm = false;
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}
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}
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if (itm){
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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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}
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}
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if(knockedLeg_dash == -1){
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int itm = true;
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if (CP <= 1){
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double tempPayOff = european_payoff(( *( Xs_array + 0 ) ), sim_dash[NL-1], cp_sign, dir_sign, 1);
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if(tempPayOff == 0){
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itm = false;
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}
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}
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if (itm){
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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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}
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}
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} else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP){
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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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538
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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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544
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545
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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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549
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metrics[0][point_pos+1] = sim_dash[NL-1];
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550
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metrics[1][point_pos+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
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551
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metrics[3][point_pos+1] = knockedLeg_dash;
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552
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}
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553
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} else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI){
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if(knockedLeg >= 0 && knockedLeg2 >= 0){
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555
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if(knockedLeg < knockedLeg2){
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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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} else {
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559
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sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
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}
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} else if(knockedLeg2 >= 0){
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sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], 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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566
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+
}
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567
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+
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568
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if(knockedLeg_dash >= 0 && knockedLeg2_dash >= 0){
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if(knockedLeg_dash < knockedLeg2_dash){
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570
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double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
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571
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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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572
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+
} else {
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573
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sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[knockedLeg2_dash], dir_sign);
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574
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+
}
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575
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+
} else if(knockedLeg2_dash >= 0){
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576
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sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[knockedLeg2_dash], dir_sign);
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577
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+
} else if(knockedLeg_dash >= 0) {
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578
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+
double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
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579
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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);
|
580
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+
}
|
581
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+
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441
582
|
if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
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442
583
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metrics[0][point_pos] = sim[NL-1];
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443
584
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metrics[1][point_pos] = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
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metadata
CHANGED
@@ -1,14 +1,14 @@
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|
1
1
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--- !ruby/object:Gem::Specification
|
2
2
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name: tarf_monte_carlo
|
3
3
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version: !ruby/object:Gem::Version
|
4
|
-
version: '3.
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4
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+
version: '3.57'
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5
5
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platform: ruby
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6
6
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authors:
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7
7
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- Vivek Routh
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8
8
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autorequire:
|
9
9
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bindir: exe
|
10
10
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cert_chain: []
|
11
|
-
date: 2020-10-
|
11
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+
date: 2020-10-12 00:00:00.000000000 Z
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12
12
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dependencies:
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13
13
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- !ruby/object:Gem::Dependency
|
14
14
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name: bundler
|