tarf_monte_carlo 3.58 → 3.59
Sign up to get free protection for your applications and to get access to all the features.
- checksums.yaml +4 -4
- data/ext/tarf_monte_carlo/tarf_monte_carlo.c +10 -15
- data/lib/tarf_monte_carlo/version.rb +1 -1
- metadata +2 -2
checksums.yaml
CHANGED
@@ -1,7 +1,7 @@
|
|
1
1
|
---
|
2
2
|
SHA256:
|
3
|
-
metadata.gz:
|
4
|
-
data.tar.gz:
|
3
|
+
metadata.gz: 384c19cb2b52b6b7f0cd0b03f0128fc6401c2455286aa206770233781685a41c
|
4
|
+
data.tar.gz: 63d22411c3a1a438f679a8ce421fea26e9b6ad8bc5f479eb66532f9b3087c652
|
5
5
|
SHA512:
|
6
|
-
metadata.gz:
|
7
|
-
data.tar.gz:
|
6
|
+
metadata.gz: b17e9cc3e33b5c21bb5a2e9ab8dcb8912e0bed6522279066a903ca315a3d2b5ca8c3666b5b1687fd63f2060f297b3a0e1e2e4a312c2268bb0e31bb896c88e4e3
|
7
|
+
data.tar.gz: 4ac2992778ce44b6a7add5db8dec950ee8ad86ac140f80e064054f3871720a470e66e936eafe424d892e8082c4fe57ffae28df4a05ffa35c92539388fb7a7922
|
@@ -66,7 +66,6 @@ VALUE cTarfMonteCarlo = Qnil;
|
|
66
66
|
// Prototype for the initialization method - Ruby calls this, not you
|
67
67
|
void Init_tarf_monte_carlo();
|
68
68
|
double european_payoff(double, double, int, int, double);
|
69
|
-
double get_equivalent_notional(int, double, float);
|
70
69
|
double get_equivalent_rebate(int, double, float, int);
|
71
70
|
bool barrier_variations(int);
|
72
71
|
bool double_barrier_variations(int);
|
@@ -99,10 +98,6 @@ double european_payoff(double strike, double spot, int cp_sign, int dir_sign, do
|
|
99
98
|
return (diff * notional * dir_sign);
|
100
99
|
}
|
101
100
|
|
102
|
-
double get_equivalent_notional(int conversion_sign, double notional, float rate){
|
103
|
-
return (conversion_sign == 1) ? (notional / rate) : notional;
|
104
|
-
}
|
105
|
-
|
106
101
|
double get_equivalent_rebate(int conversion_sign, double rebate, float rate, int dir_sign){
|
107
102
|
double total = (conversion_sign == 1) ? (rebate * rate) : rebate;
|
108
103
|
return (dir_sign * total);
|
@@ -453,14 +448,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
453
448
|
double ko_so_far = K, ko_so_far_dash = K;
|
454
449
|
if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN){
|
455
450
|
if(knockedLeg >= 0){
|
456
|
-
double equivalent_notional =
|
451
|
+
double equivalent_notional = *( Ns_array + knockedLeg );
|
457
452
|
sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
|
458
453
|
}
|
459
454
|
else{
|
460
455
|
sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1], dir_sign);
|
461
456
|
}
|
462
457
|
if(knockedLeg_dash >= 0 ){
|
463
|
-
double equivalent_notional =
|
458
|
+
double equivalent_notional = *( Ns_array + knockedLeg_dash );
|
464
459
|
sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
|
465
460
|
}
|
466
461
|
else{
|
@@ -544,13 +539,13 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
544
539
|
if(knockedLeg2 >= 0){
|
545
540
|
sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1], dir_sign);
|
546
541
|
} else if(knockedLeg >= 0) {
|
547
|
-
double equivalent_notional =
|
542
|
+
double equivalent_notional = *( Ns_array + knockedLeg );
|
548
543
|
sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
|
549
544
|
}
|
550
545
|
if(knockedLeg2_dash >= 0){
|
551
546
|
sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1], dir_sign);
|
552
547
|
} else if(knockedLeg_dash >= 0) {
|
553
|
-
double equivalent_notional =
|
548
|
+
double equivalent_notional = *( Ns_array + knockedLeg_dash );
|
554
549
|
sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
|
555
550
|
}
|
556
551
|
|
@@ -565,7 +560,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
565
560
|
} else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI){
|
566
561
|
if(knockedLeg >= 0 && knockedLeg2 >= 0){
|
567
562
|
if(knockedLeg < knockedLeg2){
|
568
|
-
double equivalent_notional =
|
563
|
+
double equivalent_notional = *( Ns_array + knockedLeg );
|
569
564
|
sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
|
570
565
|
} else {
|
571
566
|
sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
|
@@ -573,13 +568,13 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
573
568
|
} else if(knockedLeg2 >= 0){
|
574
569
|
sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
|
575
570
|
} else if(knockedLeg >= 0) {
|
576
|
-
double equivalent_notional =
|
571
|
+
double equivalent_notional = *( Ns_array + knockedLeg );
|
577
572
|
sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
|
578
573
|
}
|
579
574
|
|
580
575
|
if(knockedLeg_dash >= 0 && knockedLeg2_dash >= 0){
|
581
576
|
if(knockedLeg_dash < knockedLeg2_dash){
|
582
|
-
double equivalent_notional =
|
577
|
+
double equivalent_notional = *( Ns_array + knockedLeg_dash );
|
583
578
|
sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
|
584
579
|
} else {
|
585
580
|
sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[knockedLeg2_dash], dir_sign);
|
@@ -587,7 +582,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
587
582
|
} else if(knockedLeg2_dash >= 0){
|
588
583
|
sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[knockedLeg2_dash], dir_sign);
|
589
584
|
} else if(knockedLeg_dash >= 0) {
|
590
|
-
double equivalent_notional =
|
585
|
+
double equivalent_notional = *( Ns_array + knockedLeg_dash );
|
591
586
|
sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
|
592
587
|
}
|
593
588
|
|
@@ -604,14 +599,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
604
599
|
sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg], dir_sign);
|
605
600
|
}
|
606
601
|
else{
|
607
|
-
double equivalent_notional =
|
602
|
+
double equivalent_notional = *( Ns_array + 0 );
|
608
603
|
sim_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
|
609
604
|
}
|
610
605
|
if(knockedLeg_dash >= 0 ){
|
611
606
|
sim_dash_pos[knockedLeg_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg_dash ) ), sim[knockedLeg_dash], dir_sign);
|
612
607
|
}
|
613
608
|
else{
|
614
|
-
double equivalent_notional =
|
609
|
+
double equivalent_notional = *( Ns_array + 0 );
|
615
610
|
sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
|
616
611
|
}
|
617
612
|
|
metadata
CHANGED
@@ -1,14 +1,14 @@
|
|
1
1
|
--- !ruby/object:Gem::Specification
|
2
2
|
name: tarf_monte_carlo
|
3
3
|
version: !ruby/object:Gem::Version
|
4
|
-
version: '3.
|
4
|
+
version: '3.59'
|
5
5
|
platform: ruby
|
6
6
|
authors:
|
7
7
|
- Vivek Routh
|
8
8
|
autorequire:
|
9
9
|
bindir: exe
|
10
10
|
cert_chain: []
|
11
|
-
date: 2020-10-
|
11
|
+
date: 2020-10-13 00:00:00.000000000 Z
|
12
12
|
dependencies:
|
13
13
|
- !ruby/object:Gem::Dependency
|
14
14
|
name: bundler
|