tarf_monte_carlo 3.56 → 3.57

checksums.yaml

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

@@ -49,6 +49,8 @@
 #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
@@ -107,7 +109,7 @@ double get_equivalent_rebate(int conversion_sign, double rebate, float rate, int
 }
 
 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 || KType == FX_AMERICAN_BARRIER_BINARY_IN_DISCRETE || KType == FX_AMERICAN_BARRIER_BINARY_OUT_DISCRETE);
+  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){
@@ -268,7 +270,7 @@ 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 || KType == FX_AMERICAN_BARRIER_BINARY_IN_DISCRETE || KType == FX_AMERICAN_BARRIER_BINARY_OUT_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;
 
@@ -472,23 +474,59 @@ 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_BINARY_IN_DISCRETE){
+    } 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);
-        sim_pos[legIndex] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[legIndex], dir_sign);
+        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);
-        sim_dash_pos[legIndex_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[legIndex_dash], dir_sign);
+        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);
+        }
       }
-    } else if(KType == FX_AMERICAN_BARRIER_BINARY_OUT_DISCRETE){
+    } else if(KType == FX_AMERICAN_BARRIER_BINARY_OUT_DISCRETE || KType == FX_AMERICAN_BARRIER_BINARY_CALLPUT_OUT_DISCRETE){
       if(knockedLeg == -1){
-        sim_pos[NL - 1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL - 1], dir_sign);
+        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){
-        sim_dash_pos[NL - 1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL - 1], dir_sign);
+        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);
+        }
       }
     } else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP){
       if(knockedLeg2 >= 0){

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.56"
+  VERSION = "3.57"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.56'
+  version: '3.57'
 platform: ruby
 authors:
 - Vivek Routh