tarf_monte_carlo 3.58 → 3.63

checksums.yaml

@@ -1,7 +1,7 @@
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+  metadata.gz: 1279c9bdedccf7a5f6e8e9d812d3bc49b36c28dc87c3beac88ecd306d57adb13
+  data.tar.gz: ea114bbaf561a65c7825f16c8f8634543dcd9b4d9b52fc71e3b3a6d2d83714fa
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data/ext/tarf_monte_carlo/Makefile

@@ -12,12 +12,12 @@ NULLCMD = :
 #### Start of system configuration section. ####
 
 srcdir = .
-topdir = /Users/vivektripathi/.rvm/rubies/ruby-2.5.1/include/ruby-2.5.0
+topdir = /home/user/.rvm/rubies/ruby-2.5.1/include/ruby-2.5.0
 hdrdir = $(topdir)
-arch_hdrdir = /Users/vivektripathi/.rvm/rubies/ruby-2.5.1/include/ruby-2.5.0/x86_64-darwin18
+arch_hdrdir = /home/user/.rvm/rubies/ruby-2.5.1/include/ruby-2.5.0/x86_64-linux
 PATH_SEPARATOR = :
 VPATH = $(srcdir):$(arch_hdrdir)/ruby:$(hdrdir)/ruby
-prefix = $(DESTDIR)/Users/vivektripathi/.rvm/rubies/ruby-2.5.1
+prefix = $(DESTDIR)/home/user/.rvm/rubies/ruby-2.5.1
 rubysitearchprefix = $(rubylibprefix)/$(sitearch)
 rubyarchprefix = $(rubylibprefix)/$(arch)
 rubylibprefix = $(libdir)/$(RUBY_BASE_NAME)
@@ -50,7 +50,7 @@ dvidir = $(docdir)
 htmldir = $(docdir)
 infodir = $(datarootdir)/info
 docdir = $(datarootdir)/doc/$(PACKAGE)
-oldincludedir = $(SDKROOT)/usr/include
+oldincludedir = $(DESTDIR)/usr/include
 includedir = $(prefix)/include
 localstatedir = $(prefix)/var
 sharedstatedir = $(prefix)/com
@@ -67,8 +67,8 @@ CC = gcc
 CXX = g++
 LIBRUBY = $(LIBRUBY_SO)
 LIBRUBY_A = lib$(RUBY_SO_NAME)-static.a
-LIBRUBYARG_SHARED = -l$(RUBY_SO_NAME)
-LIBRUBYARG_STATIC = -l$(RUBY_SO_NAME)-static -framework Foundation
+LIBRUBYARG_SHARED = -Wl,-rpath,$(libdir) -L$(libdir) -l$(RUBY_SO_NAME)
+LIBRUBYARG_STATIC = -Wl,-rpath,$(libdir) -L$(libdir) -l$(RUBY_SO_NAME)-static
 empty =
 OUTFLAG = -o $(empty)
 COUTFLAG = -o $(empty)
@@ -79,30 +79,30 @@ cflags   = $(optflags) $(debugflags) $(warnflags)
 cxxflags = $(optflags) $(debugflags) $(warnflags)
 optflags = -O3
 debugflags = -ggdb3
-warnflags = -Wall -Wextra -Wno-unused-parameter -Wno-parentheses -Wno-long-long -Wno-missing-field-initializers -Wno-tautological-compare -Wno-parentheses-equality -Wno-constant-logical-operand -Wno-self-assign -Wunused-variable -Wimplicit-int -Wpointer-arith -Wwrite-strings -Wdeclaration-after-statement -Wshorten-64-to-32 -Wimplicit-function-declaration -Wdivision-by-zero -Wdeprecated-declarations -Wextra-tokens
-CCDLFLAGS = -fno-common
-CFLAGS   = $(CCDLFLAGS) $(cflags)  -fno-common -pipe $(ARCH_FLAG)
+warnflags = -Wall -Wextra -Wno-unused-parameter -Wno-parentheses -Wno-long-long -Wno-missing-field-initializers -Wno-tautological-compare -Wno-parentheses-equality -Wno-constant-logical-operand -Wno-self-assign -Wunused-variable -Wimplicit-int -Wpointer-arith -Wwrite-strings -Wdeclaration-after-statement -Wimplicit-function-declaration -Wdeprecated-declarations -Wno-packed-bitfield-compat -Wsuggest-attribute=noreturn -Wsuggest-attribute=format -Wno-maybe-uninitialized
+CCDLFLAGS = -fPIC
+CFLAGS   = $(CCDLFLAGS) $(cflags)  -fPIC $(ARCH_FLAG)
 INCFLAGS = -I. -I$(arch_hdrdir) -I$(hdrdir)/ruby/backward -I$(hdrdir) -I$(srcdir)
 DEFS     = 
-CPPFLAGS =   -I/usr/local/opt/libyaml/include -I/usr/local/opt/libksba/include -I/usr/local/opt/readline/include -I/usr/local/opt/zlib/include -I/usr/local/opt/openssl@1.1/include -D_XOPEN_SOURCE -D_DARWIN_C_SOURCE -D_DARWIN_UNLIMITED_SELECT -D_REENTRANT $(DEFS) $(cppflags)
+CPPFLAGS =   $(DEFS) $(cppflags)
 CXXFLAGS = $(CCDLFLAGS) $(cxxflags) $(ARCH_FLAG)
-ldflags  = -L. -fstack-protector -L/usr/local/lib -L/usr/local/opt/libyaml/lib -L/usr/local/opt/libksba/lib -L/usr/local/opt/readline/lib -L/usr/local/opt/zlib/lib -L/usr/local/opt/openssl@1.1/lib
-dldflags = -Wl,-undefined,dynamic_lookup -Wl,-multiply_defined,suppress -L/usr/local/opt/libyaml/lib -L/usr/local/opt/libksba/lib -L/usr/local/opt/readline/lib -L/usr/local/opt/zlib/lib -L/usr/local/opt/openssl@1.1/lib 
+ldflags  = -L. -fstack-protector -rdynamic -Wl,-export-dynamic
+dldflags = -Wl,--compress-debug-sections=zlib 
 ARCH_FLAG = 
 DLDFLAGS = $(ldflags) $(dldflags) $(ARCH_FLAG)
-LDSHARED = $(CC) -dynamic -bundle
-LDSHAREDXX = $(CXX) -dynamic -bundle
-AR = libtool -static
+LDSHARED = $(CC) -shared
+LDSHAREDXX = $(CXX) -shared
+AR = ar
 EXEEXT = 
 
 RUBY_INSTALL_NAME = $(RUBY_BASE_NAME)
-RUBY_SO_NAME = ruby.2.5.1
+RUBY_SO_NAME = ruby
 RUBYW_INSTALL_NAME = 
 RUBY_VERSION_NAME = $(RUBY_BASE_NAME)-$(ruby_version)
 RUBYW_BASE_NAME = rubyw
 RUBY_BASE_NAME = ruby
 
-arch = x86_64-darwin18
+arch = x86_64-linux
 sitearch = $(arch)
 ruby_version = 2.5.0
 ruby = $(bindir)/$(RUBY_BASE_NAME)
@@ -111,9 +111,9 @@ ruby_headers = $(hdrdir)/ruby.h $(hdrdir)/ruby/backward.h $(hdrdir)/ruby/ruby.h
 
 RM = rm -f
 RM_RF = $(RUBY) -run -e rm -- -rf
-RMDIRS = rmdir -p
-MAKEDIRS = /usr/local/opt/coreutils/bin/gmkdir -p
-INSTALL = /usr/local/opt/coreutils/bin/ginstall -c
+RMDIRS = rmdir --ignore-fail-on-non-empty -p
+MAKEDIRS = /bin/mkdir -p
+INSTALL = /usr/bin/install -c
 INSTALL_PROG = $(INSTALL) -m 0755
 INSTALL_DATA = $(INSTALL) -m 644
 COPY = cp
@@ -122,8 +122,8 @@ TOUCH = exit >
 #### End of system configuration section. ####
 
 preload = 
-libpath = . $(libdir) /usr/local/opt/libyaml/lib /usr/local/opt/libksba/lib /usr/local/opt/readline/lib /usr/local/opt/zlib/lib /usr/local/opt/openssl@1.1/lib
-LIBPATH =  -L. -L$(libdir) -L/usr/local/opt/libyaml/lib -L/usr/local/opt/libksba/lib -L/usr/local/opt/readline/lib -L/usr/local/opt/zlib/lib -L/usr/local/opt/openssl@1.1/lib
+libpath = . $(libdir)
+LIBPATH =  -L. -L$(libdir) -Wl,-rpath,$(libdir)
 DEFFILE = 
 
 CLEANFILES = mkmf.log
@@ -134,7 +134,7 @@ extout =
 extout_prefix = 
 target_prefix = /tarf_monte_carlo
 LOCAL_LIBS = 
-LIBS = $(LIBRUBYARG_SHARED)  -lpthread -ldl -lobjc 
+LIBS = $(LIBRUBYARG_SHARED)  -lpthread -lgmp -ldl -lcrypt -lm   -lc
 ORIG_SRCS = tarf_monte_carlo.c
 SRCS = $(ORIG_SRCS) 
 OBJS = tarf_monte_carlo.o
@@ -143,7 +143,7 @@ LOCAL_HDRS =
 TARGET = tarf_monte_carlo
 TARGET_NAME = tarf_monte_carlo
 TARGET_ENTRY = Init_$(TARGET_NAME)
-DLLIB = $(TARGET).bundle
+DLLIB = $(TARGET).so
 EXTSTATIC = 
 STATIC_LIB = 
 
@@ -257,7 +257,6 @@ $(TARGET_SO): $(OBJS) Makefile
 	$(ECHO) linking shared-object tarf_monte_carlo/$(DLLIB)
 	-$(Q)$(RM) $(@)
 	$(Q) $(LDSHARED) -o $@ $(OBJS) $(LIBPATH) $(DLDFLAGS) $(LOCAL_LIBS) $(LIBS)
-	$(Q) $(POSTLINK)
 
 
 

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);
@@ -286,19 +281,37 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       } else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP){
         profit_loss = Spot;
         profit_loss_dash = Spot_dash;
-
-        if(knockedLeg == -1 && (Spot >= *(Barrier_array + leg))){
-          knockedLeg = leg;
+        
+        // Both Until KI & Exp
+        if ( ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign < 0) && ((*(Barrier2_array + leg) - *(Xs_array + leg)) * cp_sign > 0) ){
+          if ((knockedLeg == -1) && ((*(Barrier_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg = leg; }
+          if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg2 = leg; }
+
+          if ((knockedLeg_dash == -1) && ((*(Barrier_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg_dash = leg; }
+          if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg2_dash = leg; }
         }
-        if(knockedLeg_dash == -1 && (Spot_dash >= *(Barrier_array + leg))){
-          knockedLeg_dash = leg;
+        else if( ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign > 0) && ((*(Barrier2_array + leg) - *(Xs_array + leg)) * cp_sign < 0) ){
+          if ((knockedLeg == -1) && ((*(Barrier_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg = leg; }
+          if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg2 = leg; }
+
+          if ((knockedLeg_dash == -1) && ((*(Barrier_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg_dash = leg; }
+          if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg2_dash = leg; }
         }
+        // Only Until Exp
+        else if( (KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP) && ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign > 0) && ((*(Barrier2_array + leg) - *(Barrier_array + leg)) * cp_sign > 0) ){
+          if ((knockedLeg == -1) && ((*(Barrier_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg = leg; }
+          if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg2 = leg; }
 
-        if(knockedLeg2 == -1 && (Spot >= *(Barrier2_array + leg))){
-          knockedLeg2 = leg;
+          if ((knockedLeg_dash == -1) && ((*(Barrier_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg_dash = leg; }
+          if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg2_dash = leg; }
         }
-        if(knockedLeg2_dash == -1 && (Spot_dash >= *(Barrier2_array + leg))){
-          knockedLeg2_dash = leg;
+
+        else if( (KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP) && ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign < 0) && ((*(Barrier2_array + leg) - *(Barrier_array + leg)) * cp_sign < 0) ){
+          if ((knockedLeg == -1) && ((*(Barrier_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg = leg; }
+          if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg2 = leg; }
+
+          if ((knockedLeg_dash == -1) && ((*(Barrier_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg_dash = leg; }
+          if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg2_dash = leg; }
         }
       } else if(KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT){
         profit_loss = Spot;
@@ -453,14 +466,14 @@ 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{
@@ -544,13 +557,13 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       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);
       }
 
@@ -565,7 +578,7 @@ 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);
@@ -573,13 +586,13 @@ 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);
@@ -587,7 +600,7 @@ 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);
       }
 
@@ -604,14 +617,14 @@ 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 = "3.58"
+  VERSION = "3.63"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.58'
+  version: '3.63'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-10-12 00:00:00.000000000 Z
+date: 2020-10-14 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
@@ -140,7 +140,7 @@ required_rubygems_version: !ruby/object:Gem::Requirement
     - !ruby/object:Gem::Version
       version: '0'
 requirements: []
-rubygems_version: 3.0.6
+rubygems_version: 3.0.8
 signing_key: 
 specification_version: 4
 summary: Monte Carlo Simulation.