tarf_monte_carlo 3.60 → 3.65
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- checksums.yaml +4 -4
- data/ext/tarf_monte_carlo/Makefile +24 -25
- data/ext/tarf_monte_carlo/tarf_monte_carlo.c +27 -22
- data/lib/tarf_monte_carlo/version.rb +1 -1
- metadata +3 -3
checksums.yaml
CHANGED
@@ -1,7 +1,7 @@
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---
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SHA256:
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metadata.gz:
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data.tar.gz:
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metadata.gz: 707623dec4f74afcf22546eb4e00d1eac103b8f09f9b876b485496f8ee720588
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data.tar.gz: f882ae037b74ec0823880a030d71d59f617f8b93ffaaa6d3630078c73e9ceb9e
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: b11a35791403e6999b76ed1a2501d252a3960ccce81fb918119d87453859e15dd1462d2aaa459bba213ec164bf7b0e518d4ed56d93a5823398351722ece66f06
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data.tar.gz: e5ae1f9e36514c594aa5b29bced3861a17d7f66951f8c8ba0ae20dfd93ff7c00e5f45b0faff6ed86fcb8d6d5324788072078f866986ce2dc1405e74f63c457cd
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@@ -12,12 +12,12 @@ NULLCMD = :
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#### Start of system configuration section. ####
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srcdir = .
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-
topdir = /
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topdir = /home/user/.rvm/rubies/ruby-2.5.1/include/ruby-2.5.0
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hdrdir = $(topdir)
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-
arch_hdrdir = /
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arch_hdrdir = /home/user/.rvm/rubies/ruby-2.5.1/include/ruby-2.5.0/x86_64-linux
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PATH_SEPARATOR = :
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VPATH = $(srcdir):$(arch_hdrdir)/ruby:$(hdrdir)/ruby
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prefix = $(DESTDIR)/
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prefix = $(DESTDIR)/home/user/.rvm/rubies/ruby-2.5.1
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rubysitearchprefix = $(rubylibprefix)/$(sitearch)
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rubyarchprefix = $(rubylibprefix)/$(arch)
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rubylibprefix = $(libdir)/$(RUBY_BASE_NAME)
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@@ -50,7 +50,7 @@ dvidir = $(docdir)
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htmldir = $(docdir)
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infodir = $(datarootdir)/info
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docdir = $(datarootdir)/doc/$(PACKAGE)
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-
oldincludedir = $(
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oldincludedir = $(DESTDIR)/usr/include
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includedir = $(prefix)/include
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localstatedir = $(prefix)/var
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sharedstatedir = $(prefix)/com
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@@ -67,8 +67,8 @@ CC = gcc
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CXX = g++
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LIBRUBY = $(LIBRUBY_SO)
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LIBRUBY_A = lib$(RUBY_SO_NAME)-static.a
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-
LIBRUBYARG_SHARED = -l$(RUBY_SO_NAME)
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-
LIBRUBYARG_STATIC = -l$(RUBY_SO_NAME)-static
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LIBRUBYARG_SHARED = -Wl,-rpath,$(libdir) -L$(libdir) -l$(RUBY_SO_NAME)
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LIBRUBYARG_STATIC = -Wl,-rpath,$(libdir) -L$(libdir) -l$(RUBY_SO_NAME)-static
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empty =
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OUTFLAG = -o $(empty)
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COUTFLAG = -o $(empty)
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@@ -79,30 +79,30 @@ cflags = $(optflags) $(debugflags) $(warnflags)
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cxxflags = $(optflags) $(debugflags) $(warnflags)
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optflags = -O3
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debugflags = -ggdb3
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-
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 -
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CCDLFLAGS = -
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CFLAGS = $(CCDLFLAGS) $(cflags) -
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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
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CCDLFLAGS = -fPIC
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CFLAGS = $(CCDLFLAGS) $(cflags) -fPIC $(ARCH_FLAG)
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INCFLAGS = -I. -I$(arch_hdrdir) -I$(hdrdir)/ruby/backward -I$(hdrdir) -I$(srcdir)
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DEFS =
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CPPFLAGS =
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CPPFLAGS = $(DEFS) $(cppflags)
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CXXFLAGS = $(CCDLFLAGS) $(cxxflags) $(ARCH_FLAG)
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ldflags = -L. -fstack-protector -
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dldflags = -Wl
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ldflags = -L. -fstack-protector -rdynamic -Wl,-export-dynamic
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dldflags = -Wl,--compress-debug-sections=zlib
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ARCH_FLAG =
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DLDFLAGS = $(ldflags) $(dldflags) $(ARCH_FLAG)
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LDSHARED = $(CC) -
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LDSHAREDXX = $(CXX) -
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AR =
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LDSHARED = $(CC) -shared
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LDSHAREDXX = $(CXX) -shared
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AR = ar
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EXEEXT =
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RUBY_INSTALL_NAME = $(RUBY_BASE_NAME)
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RUBY_SO_NAME = ruby
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RUBY_SO_NAME = ruby
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RUBYW_INSTALL_NAME =
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RUBY_VERSION_NAME = $(RUBY_BASE_NAME)-$(ruby_version)
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RUBYW_BASE_NAME = rubyw
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RUBY_BASE_NAME = ruby
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arch = x86_64-
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arch = x86_64-linux
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sitearch = $(arch)
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ruby_version = 2.5.0
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ruby = $(bindir)/$(RUBY_BASE_NAME)
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@@ -111,9 +111,9 @@ ruby_headers = $(hdrdir)/ruby.h $(hdrdir)/ruby/backward.h $(hdrdir)/ruby/ruby.h
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RM = rm -f
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RM_RF = $(RUBY) -run -e rm -- -rf
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RMDIRS = rmdir -p
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MAKEDIRS = /
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INSTALL = /usr/
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RMDIRS = rmdir --ignore-fail-on-non-empty -p
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MAKEDIRS = /bin/mkdir -p
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INSTALL = /usr/bin/install -c
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INSTALL_PROG = $(INSTALL) -m 0755
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INSTALL_DATA = $(INSTALL) -m 644
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COPY = cp
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@@ -122,8 +122,8 @@ TOUCH = exit >
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#### End of system configuration section. ####
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preload =
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libpath = . $(libdir)
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LIBPATH = -L. -L$(libdir) -
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libpath = . $(libdir)
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LIBPATH = -L. -L$(libdir) -Wl,-rpath,$(libdir)
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DEFFILE =
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CLEANFILES = mkmf.log
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@@ -134,7 +134,7 @@ extout =
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extout_prefix =
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target_prefix = /tarf_monte_carlo
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LOCAL_LIBS =
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LIBS = $(LIBRUBYARG_SHARED) -lpthread -ldl -
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LIBS = $(LIBRUBYARG_SHARED) -lpthread -lgmp -ldl -lcrypt -lm -lc
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ORIG_SRCS = tarf_monte_carlo.c
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SRCS = $(ORIG_SRCS)
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OBJS = tarf_monte_carlo.o
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@@ -143,7 +143,7 @@ LOCAL_HDRS =
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TARGET = tarf_monte_carlo
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TARGET_NAME = tarf_monte_carlo
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TARGET_ENTRY = Init_$(TARGET_NAME)
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DLLIB = $(TARGET).
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DLLIB = $(TARGET).so
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EXTSTATIC =
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STATIC_LIB =
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@@ -257,7 +257,6 @@ $(TARGET_SO): $(OBJS) Makefile
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$(ECHO) linking shared-object tarf_monte_carlo/$(DLLIB)
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-$(Q)$(RM) $(@)
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$(Q) $(LDSHARED) -o $@ $(OBJS) $(LIBPATH) $(DLDFLAGS) $(LOCAL_LIBS) $(LIBS)
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$(Q) $(POSTLINK)
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@@ -211,7 +211,6 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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//
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// first create a 1-D array of pointers, and then, for each array entry, create another 1-D array.
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//
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-
double payoffmet[SCount];
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double **metrics;
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if (barrier_variations(KType)){
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metrics = ( double** ) malloc( BARRIER_DP * sizeof(double*) );
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@@ -236,8 +235,6 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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// run simulations loop
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for( sim_count = 0; sim_count < SCount; sim_count += 2 ) {
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// initial spot rate for each iteration would be current spot rate
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-
payoffmet[sim_count] = 0;
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-
payoffmet[sim_count + 1] = 0;
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double Spot = S, Spot_dash = S;
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double sim[NL], sim_pos[NL], sim_neg[NL], sim_dash[NL], sim_dash_pos[NL], sim_dash_neg[NL];
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@@ -284,19 +281,37 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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} else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP){
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profit_loss = Spot;
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profit_loss_dash = Spot_dash;
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-
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-
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-
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+
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// Both Until KI & Exp
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if ( ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign <= 0) && ((*(Barrier2_array + leg) - *(Xs_array + leg)) * cp_sign >= 0) ){
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if ((knockedLeg == -1) && ((*(Barrier_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg = leg; }
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if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg2 = leg; }
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+
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if ((knockedLeg_dash == -1) && ((*(Barrier_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg_dash = leg; }
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if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg2_dash = leg; }
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}
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-
if(
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-
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else if( ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign >= 0) && ((*(Barrier2_array + leg) - *(Xs_array + leg)) * cp_sign <= 0) ){
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if ((knockedLeg == -1) && ((*(Barrier_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg = leg; }
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if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg2 = leg; }
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+
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if ((knockedLeg_dash == -1) && ((*(Barrier_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg_dash = leg; }
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if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg2_dash = leg; }
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}
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// Only Until Exp
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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) ){
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if ((knockedLeg == -1) && ((*(Barrier_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg = leg; }
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if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg2 = leg; }
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-
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-
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if ((knockedLeg_dash == -1) && ((*(Barrier_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg_dash = leg; }
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if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg2_dash = leg; }
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}
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-
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-
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+
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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) ){
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if ((knockedLeg == -1) && ((*(Barrier_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg = leg; }
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if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg2 = leg; }
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+
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if ((knockedLeg_dash == -1) && ((*(Barrier_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg_dash = leg; }
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if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg2_dash = leg; }
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}
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} else if(KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT){
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profit_loss = Spot;
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@@ -749,8 +764,6 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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pvs_neg[sim_count] = sim_neg_sum;
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pvs_neg[sim_count + 1] = sim_dash_neg_sum;
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-
payoffmet[sim_count] = sim_pos_sum;
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-
payoffmet[sim_count + 1] = sim_dash_pos_sum;
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if (barrier_variations(KType)){
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if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
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@@ -826,20 +839,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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}
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}
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-
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VALUE py_final_metrics = rb_ary_new();
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for(metric = 0; metric < SCount; metric++) {
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VALUE leg_metrics = rb_ary_new();
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-
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rb_ary_push(py_final_metrics, payoffmet[metric]);
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}
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// rb_p(rb_str_new2("Generating output hash"));
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VALUE final_pvs = rb_hash_new();
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rb_hash_aset(final_pvs, rb_str_new2("positive_pv"), DBL2NUM( pvs_pos_sum / SCount ));
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rb_hash_aset(final_pvs, rb_str_new2("negative_pv"), DBL2NUM( pvs_neg_sum / SCount ));
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rb_hash_aset(final_pvs, rb_str_new2("total_pv"), DBL2NUM( (pvs_neg_sum + pvs_pos_sum) / SCount ));
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rb_hash_aset(final_pvs, rb_str_new2("metrics"), final_metrics);
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-
rb_hash_aset(final_pvs, rb_str_new2("payoffmetrics"), py_final_metrics);
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//
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// free your arrays from memory once you're done using them
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metadata
CHANGED
@@ -1,14 +1,14 @@
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--- !ruby/object:Gem::Specification
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2
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name: tarf_monte_carlo
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version: !ruby/object:Gem::Version
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version: '3.
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version: '3.65'
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platform: ruby
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authors:
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- Vivek Routh
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autorequire:
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bindir: exe
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cert_chain: []
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-
date: 2020-10-
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date: 2020-10-15 00:00:00.000000000 Z
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dependencies:
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- !ruby/object:Gem::Dependency
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name: bundler
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@@ -140,7 +140,7 @@ required_rubygems_version: !ruby/object:Gem::Requirement
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- !ruby/object:Gem::Version
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version: '0'
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requirements: []
|
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-
rubygems_version: 3.0.
|
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rubygems_version: 3.0.8
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signing_key:
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specification_version: 4
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summary: Monte Carlo Simulation.
|