tarf_monte_carlo 3.61 → 3.66

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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-  data.tar.gz: aec6753b1e912651e2c04357d833dbacc920442a32956993d25f37c1b07de19d
+  metadata.gz: 1398b6cb4be3ea51154d3da07ab8db53b46e32ea5340688de66f25583834141d
+  data.tar.gz: 73320e683ceb04104c1cc1803a3b753b104ddd7c150314f86c2408abf77558b2
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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

@@ -211,8 +211,8 @@ 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;
+  double pffm[SCount];
   if (barrier_variations(KType)){
     metrics = ( double** ) malloc( BARRIER_DP * sizeof(double*) );
     for( metric = 0; metric < BARRIER_DP; metric++ ) {
@@ -236,8 +236,9 @@ 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;
+    pffm[sim_count] = 0;
+    pffm[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];
 
@@ -284,19 +285,37 @@ 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;
@@ -566,9 +585,11 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           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 {
+          pffm[sim_count] = knockedLeg2;
           sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
         }
       } else if(knockedLeg2 >= 0){
+        pffm[sim_count] = knockedLeg2;
         sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
       } else if(knockedLeg >= 0) {
         double equivalent_notional = *( Ns_array + knockedLeg );
@@ -749,8 +770,6 @@ 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){
@@ -826,18 +845,19 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     }
   }
 
-
-  VALUE py_final_metrics = rb_ary_new();
+  VALUE pffm_metrics = rb_ary_new();
   for(metric = 0; metric < SCount; metric++) {
-    rb_ary_push(py_final_metrics, DBL2NUM(payoffmet[metric]));
+    rb_ary_push(pffm_metrics, DBL2NUM(pffm[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);
+  rb_hash_aset(final_pvs, rb_str_new2("testing"), pffm_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 = "3.61"
+  VERSION = "3.66"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.61'
+  version: '3.66'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-10-13 00:00:00.000000000 Z
+date: 2020-10-15 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.