tarf_monte_carlo 3.53 → 3.54

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
-  metadata.gz: 60b2cf5e21d6d9a92dbef8d1988f1a0988b31279d7010aed5eec76327968bd29
-  data.tar.gz: b93ce27d9a66eb82683d3b1dff6aeb9c2bd98796bca3ca07fca85ab0fdf007d3
+  metadata.gz: e0d7cdafaf4865a66b7bbe6452a9ad3dd90c3ced070778cd288bf304cb3e2417
+  data.tar.gz: 79894b25d74fc53dfe3151009122e846323b18e31ba4ab71f4cced7edcad6eae
 SHA512:
-  metadata.gz: 6231ef9420bd8dd40b08344732b75b741b76e6665d2aa1b89948b9f4ea96540b460759a1810cb07e64d2595dd3b978554eca426ca250d9f2f650b6955598eab5
-  data.tar.gz: 68ee5e27fb0c8789362bce8af4f69fa1f7e428e04752f298d6b053f4c23d53f703968eb3eb2c0ce011f20e315237bd3ee5701c702def7f748367d9bab0525a3c
+  metadata.gz: c513bd0d5cbc5b2d8e3a66334131cf0d95b094510a6fb42f1862b478448b605c1e04a2714f552e9a7234bf1eeb1bd3297e034dbec69445e13ad2bf3ff2c65b58
+  data.tar.gz: c0ce2f67ed9a9c32f1ddaef031350535c2522bd6bfde0c80bb493189b684f68aab392fbbf773b85d1d92a11fc3d488501e5d5e8ca87e3d8f9458694c8297f9e3

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -45,6 +45,8 @@
 #define FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE 14
 #define FX_AMERICAN_BARRIER_WINDOW_KNOCKIN 15
 #define FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT 16
+#define FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP 17
+#define FX_AMERICAN_BARRIER_KIKO_UNTIL_KI 18
 
 #define DATAPOINTS 200 // data for plotting
 #define BARRIER_DP 4 // data for plotting
@@ -63,6 +65,7 @@ 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);
 // Prototype for our methods - methods are prefixed by 'method_' here
 VALUE method_box_muller( VALUE );
 VALUE method_run_monte_carlo( VALUE, VALUE );
@@ -102,7 +105,11 @@ double get_equivalent_rebate(int conversion_sign, double rebate, float rate, int
 }
 
 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);
+  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 || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI);
+}
+
+bool double_barrier_variations(int KType){
+  return (KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI);
 }
 // main method for running monte carlo simulation from sidekiq worker/outside method
 VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
@@ -195,7 +202,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     for (leg = 0; leg < NL; ++leg) {
       Barrier_array[leg]  = NUM2DBL( rb_ary_entry(Brs, leg) );
       Rebate_array[leg]   = NUM2DBL( rb_ary_entry(Rbts, leg) );
-      if(KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT){
+      if(double_barrier_variations(KType)){
         Barrier2_array[leg]  = NUM2DBL( rb_ary_entry(Brs2, leg) );
       }
     }
@@ -241,8 +248,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       sim_dash_neg[leg] = 0.0;
     }
 
-    int knockedLeg = -1;
-    int knockedLeg_dash = -1;
+    int knockedLeg = -1, knockedLeg_dash = -1, knockedLeg2 = -1, knockedLeg2_dash = -1;
     // legs loop start
     for( leg = 0; leg < NL; ++leg ) {
       double eps, eps_dash, drift, vSqrdt, profit_loss, profit_loss_dash;
@@ -272,6 +278,23 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         if(knockedLeg_dash == -1 && knockin_dash >= 0){
           knockedLeg_dash = leg;
         }
+      } 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;
+        }
+        if(knockedLeg_dash == -1 && (Spot_dash >= *(Barrier_array + leg))){
+          knockedLeg_dash = leg;
+        }
+
+        if(knockedLeg2 == -1 && (Spot >= *(Barrier2_array + leg))){
+          knockedLeg2 = leg;
+        }
+        if(knockedLeg2_dash == -1 && (Spot_dash >= *(Barrier2_array + leg))){
+          knockedLeg2_dash = leg;
+        }
       } else if(KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT){
         profit_loss = Spot;
         profit_loss_dash = Spot_dash;
@@ -438,6 +461,28 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       else{
         sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1], dir_sign);
       }
+      if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
+        metrics[0][point_pos]   = sim[NL-1];
+        metrics[1][point_pos]   = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
+        metrics[3][point_pos]   = knockedLeg;
+        metrics[0][point_pos+1] = sim_dash[NL-1];
+        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_KIKO_UNTIL_EXP || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI){
+      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]);
+        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]);
+        sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
+      }
+
       if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
         metrics[0][point_pos]   = sim[NL-1];
         metrics[1][point_pos]   = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.53"
+  VERSION = "3.54"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.53'
+  version: '3.54'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-10-08 00:00:00.000000000 Z
+date: 2020-10-10 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler