tarf_monte_carlo 3.56 → 3.61

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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-  data.tar.gz: 92ff0b4ad25f0e871ccbaa6e14f62e5eaabbe1500b9a7724bda47bd09839ee23
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+  data.tar.gz: aec6753b1e912651e2c04357d833dbacc920442a32956993d25f37c1b07de19d
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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
@@ -64,7 +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);
@@ -97,17 +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 || 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){
@@ -214,6 +211,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   //
   // first create a 1-D array of pointers, and then, for each array entry, create another 1-D array.
   //
+  double payoffmet[SCount];
   double **metrics;
   if (barrier_variations(KType)){
     metrics = ( double** ) malloc( BARRIER_DP * sizeof(double*) );
@@ -238,6 +236,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   // run simulations loop
   for( sim_count = 0; sim_count < SCount; sim_count += 2 ) {
     // initial spot rate for each iteration would be current spot rate
+    payoffmet[sim_count] = 0;
+    payoffmet[sim_count + 1] = 0;
     double Spot = S, Spot_dash = S;
     double sim[NL], sim_pos[NL], sim_neg[NL], sim_dash[NL], sim_dash_pos[NL], sim_dash_neg[NL];
 
@@ -268,7 +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 || 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;
 
@@ -451,14 +451,14 @@ 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{
@@ -472,35 +472,83 @@ 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);
+        }
+      }
+      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){
+    } 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);
+        }
+      }
+      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);
       }
 
@@ -515,7 +563,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     } 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]);
+          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);
@@ -523,13 +571,13 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       } 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]);
+        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 = 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 {
           sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[knockedLeg2_dash], dir_sign);
@@ -537,7 +585,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       } 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]);
+        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);
       }
 
@@ -554,14 +602,14 @@ 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);
       }
 
@@ -701,6 +749,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     pvs_neg[sim_count]      = sim_neg_sum;
     pvs_neg[sim_count + 1]  = sim_dash_neg_sum;
 
+    payoffmet[sim_count] = sim_pos_sum;
+    payoffmet[sim_count + 1] = sim_dash_pos_sum;
 
     if (barrier_variations(KType)){
       if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
@@ -776,12 +826,18 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     }
   }
 
+
+  VALUE py_final_metrics = rb_ary_new();
+  for(metric = 0; metric < SCount; metric++) {
+    rb_ary_push(py_final_metrics, DBL2NUM(payoffmet[metric]));
+  }
   // rb_p(rb_str_new2("Generating output hash"));
   VALUE final_pvs = rb_hash_new();
   rb_hash_aset(final_pvs, rb_str_new2("positive_pv"), DBL2NUM( pvs_pos_sum / SCount ));
   rb_hash_aset(final_pvs, rb_str_new2("negative_pv"), DBL2NUM( pvs_neg_sum / SCount ));
   rb_hash_aset(final_pvs, rb_str_new2("total_pv"), DBL2NUM( (pvs_neg_sum + pvs_pos_sum) / SCount ));
   rb_hash_aset(final_pvs, rb_str_new2("metrics"), final_metrics);
+  rb_hash_aset(final_pvs, rb_str_new2("payoffmetrics"), py_final_metrics);
 
   //
   // free your arrays from memory once you're done using them

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 = "3.61"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.56'
+  version: '3.61'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-10-12 00:00:00.000000000 Z
+date: 2020-10-13 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler