tarf_monte_carlo 3.64 → 3.69

checksums.yaml

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

@@ -211,6 +211,7 @@ 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 testing[SCount];
   double **metrics;
   if (barrier_variations(KType)){
     metrics = ( double** ) malloc( BARRIER_DP * sizeof(double*) );
@@ -234,6 +235,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
 
   // run simulations loop
   for( sim_count = 0; sim_count < SCount; sim_count += 2 ) {
+    
+    testing[sim_count]    = -1;
+    testing[sim_count+1]  = -1;
+
     // initial spot rate for each iteration would be current spot rate
     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];
@@ -283,14 +288,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         profit_loss_dash = Spot_dash;
         
         // Both Until KI & Exp
-        if ( ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign < 0) && ((*(Barrier2_array + leg) - *(Xs_array + leg)) * cp_sign > 0) ){
+        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; }
         }
-        else if( ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign > 0) && ((*(Barrier2_array + leg) - *(Xs_array + leg)) * cp_sign < 0) ){
+        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; }
 
@@ -298,7 +303,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           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) ){
+        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; }
 
@@ -306,7 +311,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign <= 0)){ 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) ){
+        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; }
 
@@ -555,13 +560,13 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       }
     } 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);
+        sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2 ) ), sim[NL-1], dir_sign);
       } else if(knockedLeg >= 0) {
         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);
+        sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2 ) ), sim_dash[NL-1], dir_sign);
       } else if(knockedLeg_dash >= 0) {
         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);
@@ -576,15 +581,18 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         metrics[3][point_pos+1] = knockedLeg_dash;
       }
     } else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI){
+      testing[sim_count] = knockedLeg2;
+      testing[sim_count + 1] = knockedLeg2_dash;
+
       if(knockedLeg >= 0 && knockedLeg2 >= 0){
         if(knockedLeg < knockedLeg2){
           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);
+          sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2 ) ), sim[knockedLeg2], dir_sign);
         }
       } else if(knockedLeg2 >= 0){
-        sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
+        sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2 ) ), sim[knockedLeg2], dir_sign);
       } else if(knockedLeg >= 0) {
         double equivalent_notional = *( Ns_array + knockedLeg );
         sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
@@ -595,10 +603,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           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);
+          sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2_dash ) ), sim_dash[knockedLeg2_dash], dir_sign);
         }
       } 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);
+        sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2_dash ) ), sim_dash[knockedLeg2_dash], dir_sign);
       } else if(knockedLeg_dash >= 0) {
         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);
@@ -839,12 +847,18 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     }
   }
 
+  VALUE testing_data = rb_ary_new();
+  for(metric = 0; metric < SCount; metric++) {
+    rb_ary_push(testing_data, DBL2NUM(testing[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("testing"), testing_data);
 
   //
   // 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 = "3.64"
+  VERSION = "3.69"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.64'
+  version: '3.69'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-10-14 00:00:00.000000000 Z
+date: 2020-10-15 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler