tarf_monte_carlo 3.54 → 3.59
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- checksums.yaml +4 -4
- data/ext/tarf_monte_carlo/tarf_monte_carlo.c +117 -14
- 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: 384c19cb2b52b6b7f0cd0b03f0128fc6401c2455286aa206770233781685a41c
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data.tar.gz: 63d22411c3a1a438f679a8ce421fea26e9b6ad8bc5f479eb66532f9b3087c652
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: b17e9cc3e33b5c21bb5a2e9ab8dcb8912e0bed6522279066a903ca315a3d2b5ca8c3666b5b1687fd63f2060f297b3a0e1e2e4a312c2268bb0e31bb896c88e4e3
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data.tar.gz: 4ac2992778ce44b6a7add5db8dec950ee8ad86ac140f80e064054f3871720a470e66e936eafe424d892e8082c4fe57ffae28df4a05ffa35c92539388fb7a7922
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@@ -47,6 +47,10 @@
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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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@@ -62,7 +66,6 @@ VALUE cTarfMonteCarlo = Qnil;
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// Prototype for the initialization method - Ruby calls this, not you
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void Init_tarf_monte_carlo();
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double european_payoff(double, double, int, int, double);
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65
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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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@@ -95,17 +98,13 @@ double european_payoff(double strike, double spot, int cp_sign, int dir_sign, do
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return (diff * notional * dir_sign);
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}
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-
double get_equivalent_notional(int conversion_sign, double notional, float rate){
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-
return (conversion_sign == 1) ? (notional / rate) : notional;
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-
}
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-
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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 (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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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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@@ -129,6 +128,7 @@ 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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@@ -265,7 +265,7 @@ 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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@@ -448,14 +448,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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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 || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN){
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if(knockedLeg >= 0){
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-
double equivalent_notional =
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double equivalent_notional = *( Ns_array + knockedLeg );
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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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else{
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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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if(knockedLeg_dash >= 0 ){
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double equivalent_notional =
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double equivalent_notional = *( Ns_array + knockedLeg_dash );
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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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else{
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@@ -469,17 +469,120 @@ 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_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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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] = *( Xs_array + 0 );
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metrics[0][point_pos+1] = sim_dash[NL-1];
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metrics[1][point_pos+1] = *( Xs_array + 0 );
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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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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] = *( Xs_array + 0 );
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metrics[0][point_pos+1] = sim_dash[NL-1];
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metrics[1][point_pos+1] = *( Xs_array + 0 );
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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 =
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double equivalent_notional = *( Ns_array + knockedLeg );
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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 =
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double equivalent_notional = *( Ns_array + knockedLeg_dash );
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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_KIKO_UNTIL_KI){
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if(knockedLeg >= 0 && knockedLeg2 >= 0){
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if(knockedLeg < knockedLeg2){
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563
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double equivalent_notional = *( Ns_array + knockedLeg );
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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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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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570
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} else if(knockedLeg >= 0) {
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double equivalent_notional = *( Ns_array + knockedLeg );
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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(knockedLeg_dash >= 0 && knockedLeg2_dash >= 0){
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if(knockedLeg_dash < knockedLeg2_dash){
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double equivalent_notional = *( Ns_array + knockedLeg_dash );
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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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579
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} else {
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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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581
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}
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582
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} else if(knockedLeg2_dash >= 0){
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sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[knockedLeg2_dash], dir_sign);
|
584
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+
} else if(knockedLeg_dash >= 0) {
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585
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double equivalent_notional = *( Ns_array + knockedLeg_dash );
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483
586
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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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484
587
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}
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485
588
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@@ -496,14 +599,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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496
599
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sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg], dir_sign);
|
497
600
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}
|
498
601
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else{
|
499
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-
double equivalent_notional =
|
602
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+
double equivalent_notional = *( Ns_array + 0 );
|
500
603
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sim_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
|
501
604
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}
|
502
605
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if(knockedLeg_dash >= 0 ){
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503
606
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sim_dash_pos[knockedLeg_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg_dash ) ), sim[knockedLeg_dash], dir_sign);
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504
607
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}
|
505
608
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else{
|
506
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-
double equivalent_notional =
|
609
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+
double equivalent_notional = *( Ns_array + 0 );
|
507
610
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sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
|
508
611
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}
|
509
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metadata
CHANGED
@@ -1,14 +1,14 @@
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|
1
1
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--- !ruby/object:Gem::Specification
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2
2
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name: tarf_monte_carlo
|
3
3
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version: !ruby/object:Gem::Version
|
4
|
-
version: '3.
|
4
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+
version: '3.59'
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5
5
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platform: ruby
|
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:
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9
9
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bindir: exe
|
10
10
|
cert_chain: []
|
11
|
-
date: 2020-10-
|
11
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+
date: 2020-10-13 00:00:00.000000000 Z
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12
12
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dependencies:
|
13
13
|
- !ruby/object:Gem::Dependency
|
14
14
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name: bundler
|