tarf_monte_carlo 3.54 → 3.59

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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-  data.tar.gz: 79894b25d74fc53dfe3151009122e846323b18e31ba4ab71f4cced7edcad6eae
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+  data.tar.gz: 63d22411c3a1a438f679a8ce421fea26e9b6ad8bc5f479eb66532f9b3087c652
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+  data.tar.gz: 4ac2992778ce44b6a7add5db8dec950ee8ad86ac140f80e064054f3871720a470e66e936eafe424d892e8082c4fe57ffae28df4a05ffa35c92539388fb7a7922

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -47,6 +47,10 @@
 #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 FX_AMERICAN_BARRIER_BINARY_CALLPUT_IN_DISCRETE 21
+#define FX_AMERICAN_BARRIER_BINARY_CALLPUT_OUT_DISCRETE 22
 
 #define DATAPOINTS 200 // data for plotting
 #define BARRIER_DP 4 // data for plotting
@@ -62,7 +66,6 @@ VALUE cTarfMonteCarlo = Qnil;
 // Prototype for the initialization method - Ruby calls this, not you
 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);
@@ -95,17 +98,13 @@ double european_payoff(double strike, double spot, int cp_sign, int dir_sign, do
   return (diff * notional * dir_sign);
 }
 
-double get_equivalent_notional(int conversion_sign, double notional, float rate){
-  return (conversion_sign == 1) ? (notional / rate) : notional;
-}
-
 double get_equivalent_rebate(int conversion_sign, double rebate, float rate, int dir_sign){
   double total = (conversion_sign == 1) ? (rebate * rate) : rebate;
   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);
+  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);
 }
 
 bool double_barrier_variations(int KType){
@@ -129,6 +128,7 @@ 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")) );
@@ -265,7 +265,7 @@ 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 || KType == FX_AMERICAN_BARRIER_BINARY_CALLPUT_IN_DISCRETE || KType == FX_AMERICAN_BARRIER_BINARY_CALLPUT_OUT_DISCRETE){
         profit_loss = Spot;
         profit_loss_dash = Spot_dash;
 
@@ -448,14 +448,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     double ko_so_far = K, ko_so_far_dash = K;
     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]);
+        double equivalent_notional = *( Ns_array + knockedLeg );
         sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
       else{
         sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1], dir_sign);
       }
       if(knockedLeg_dash >= 0 ){
-        double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
+        double equivalent_notional = *( Ns_array + knockedLeg_dash );
         sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
       else{
@@ -469,17 +469,120 @@ 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_KIKO_UNTIL_EXP || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI){
+    } else if(KType == FX_AMERICAN_BARRIER_BINARY_IN_DISCRETE || KType == FX_AMERICAN_BARRIER_BINARY_CALLPUT_IN_DISCRETE){
+      if(knockedLeg >= 0){
+        int legIndex = (CP == 2) ? knockedLeg : (NL - 1);
+        int itm = true;
+        if (CP <= 1){
+          double tempPayOff = european_payoff(( *( Xs_array + legIndex ) ), sim[NL-1], cp_sign, dir_sign, 1);
+          if(tempPayOff == 0){
+            itm = false;
+          }
+        }
+        if (itm){
+          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);
+        int itm = true;
+        if (CP <= 1){
+          double tempPayOff = european_payoff(( *( Xs_array + legIndex_dash ) ), sim_dash[NL-1], cp_sign, dir_sign, 1);
+          if(tempPayOff == 0){
+            itm = false;
+          }
+        }
+        if (itm){
+          sim_dash_pos[legIndex_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[legIndex_dash], dir_sign);
+        }
+      }
+      if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
+        metrics[0][point_pos]   = sim[NL-1];
+        metrics[1][point_pos]   = *( Xs_array + 0 );
+        metrics[0][point_pos+1] = sim_dash[NL-1];
+        metrics[1][point_pos+1] = *( Xs_array + 0 );
+      }
+    } else if(KType == FX_AMERICAN_BARRIER_BINARY_OUT_DISCRETE || KType == FX_AMERICAN_BARRIER_BINARY_CALLPUT_OUT_DISCRETE){
+      if(knockedLeg == -1){
+        int itm = true;
+        if (CP <= 1){
+          double tempPayOff = european_payoff(( *( Xs_array + 0 ) ), sim[NL-1], cp_sign, dir_sign, 1);
+          if(tempPayOff == 0){
+            itm = false;
+          }
+        }
+        if (itm){
+          sim_pos[NL - 1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL - 1], dir_sign);
+        }
+      }
+
+      if(knockedLeg_dash == -1){
+        int itm = true;
+        if (CP <= 1){
+          double tempPayOff = european_payoff(( *( Xs_array + 0 ) ), sim_dash[NL-1], cp_sign, dir_sign, 1);
+          if(tempPayOff == 0){
+            itm = false;
+          }
+        }
+        if (itm){
+          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]   = *( Xs_array + 0 );
+        metrics[0][point_pos+1] = sim_dash[NL-1];
+        metrics[1][point_pos+1] = *( Xs_array + 0 );
+      }
+    } 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]);
+        double equivalent_notional = *( Ns_array + knockedLeg );
         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]);
+        double equivalent_notional = *( Ns_array + knockedLeg_dash );
+        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 = *( Ns_array + knockedLeg );
+          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 = *( Ns_array + knockedLeg );
+        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 = *( Ns_array + knockedLeg_dash );
+          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 = *( Ns_array + knockedLeg_dash );
         sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
 
@@ -496,14 +599,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg], dir_sign);
       }
       else{
-        double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim[NL-1]);
+        double equivalent_notional = *( Ns_array + 0 );
         sim_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
       if(knockedLeg_dash >= 0 ){
         sim_dash_pos[knockedLeg_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg_dash ) ), sim[knockedLeg_dash], dir_sign);
       }
       else{
-        double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim_dash[NL-1]);
+        double equivalent_notional = *( Ns_array + 0 );
         sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
 

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.54"
+  VERSION = "3.59"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.54'
+  version: '3.59'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-10-10 00:00:00.000000000 Z
+date: 2020-10-13 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler