tarf_monte_carlo 3.57 → 3.62

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -66,7 +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);
@@ -99,10 +98,6 @@ 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);
@@ -453,14 +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{
@@ -502,6 +497,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           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;
@@ -528,17 +529,23 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           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);
       }
 
@@ -553,7 +560,7 @@ 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);
@@ -561,13 +568,13 @@ 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);
@@ -575,7 +582,7 @@ 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);
       }
 
@@ -592,14 +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 = "3.57"
+  VERSION = "3.62"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.57'
+  version: '3.62'
 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