tarf_monte_carlo 3.50 → 3.51

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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+  metadata.gz: a032374020fceff1a3ab39e9c45e4073a93e2919a3c129a78e8e29c888864e43
+  data.tar.gz: d79b3c339ce40660d27b38e88abdf3ec50c0cb57062c28354bb1cc393f0269a8
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -62,7 +62,7 @@ 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);
 // Prototype for our methods - methods are prefixed by 'method_' here
 VALUE method_box_muller( VALUE );
 VALUE method_run_monte_carlo( VALUE, VALUE );
@@ -101,6 +101,9 @@ double get_equivalent_rebate(int conversion_sign, double rebate, float rate, int
   return (-1 * dir_sign * total);
 }
 
+bool barrier_variations(int KType){
+  return (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT);
+}
 // main method for running monte carlo simulation from sidekiq worker/outside method
 VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   VALUE MCInputs = rb_ary_shift(args);
@@ -202,7 +205,7 @@ 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 **metrics;
-  if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
+  if (barrier_variations(KType)){
     metrics = ( double** ) malloc( BARRIER_DP * sizeof(double*) );
     for( metric = 0; metric < BARRIER_DP; metric++ ) {
       metrics[metric] = ( double* ) malloc( DATAPOINTS * sizeof(double) );
@@ -402,7 +405,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       //
       // Store spot and spot dash
       //
-      if (!(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE)){
+      if (!(barrier_variations(KType))){
         if( point_pos <= SIM_LIMIT && (sim_count + 2) % INTERVAL == 0 ) {
           // rb_p(rb_str_new2("Leg:Spots"));
           metrics[ point_pos ][ leg ] = Spot;
@@ -420,7 +423,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     // legs loop end
     // start from the Knock value
     double ko_so_far = K, ko_so_far_dash = K;
-    if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE){
+    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]);
         sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
@@ -443,7 +446,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         metrics[1][point_pos+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
         metrics[3][point_pos+1] = knockedLeg_dash;
       }
-    } else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
+    } else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT){
       if(knockedLeg >= 0){
         sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg], dir_sign);
       }
@@ -575,7 +578,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       //
       // store and send whichever payoff you want
       //
-      if (!(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE)){
+      if (!(barrier_variations(KType))){
         if( point_pos <= SIM_LIMIT && (sim_count + 2) % INTERVAL == 0 ) {
           // rb_p(rb_str_new2("Leg:Payoffs"));
           metrics[ point_pos + 1 ][ leg ] = (sim_pos[leg] + sim_neg[leg]);
@@ -595,8 +598,8 @@ 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;
 
-    
-    if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
+
+    if (barrier_variations(KType)){
       if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
         metrics[2][point_pos]   = sim_pos_sum;
         metrics[2][point_pos+1] = sim_dash_pos_sum;
@@ -646,8 +649,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   //
   // rb_p(rb_str_new2("Converting metrics"));
   VALUE final_metrics = rb_ary_new();
-  
-  if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
+
+  if (barrier_variations(KType)){
     for(metric = 0; metric < BARRIER_DP; metric++) {
       VALUE leg_metrics = rb_ary_new();
 
@@ -680,7 +683,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   //
   // free your arrays from memory once you're done using them
   //
-  int dp = (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE) ? BARRIER_DP : DATAPOINTS; 
+  int dp = barrier_variations(KType) ? BARRIER_DP : DATAPOINTS;
   for(metric = 0; metric < dp; metric++) {
     free( metrics[metric] );
   }

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.50"
+  VERSION = "3.51"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.50'
+  version: '3.51'
 platform: ruby
 authors:
 - Vivek Routh