tarf_monte_carlo 3.15.3 → 3.20

checksums.yaml

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

@@ -98,6 +98,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   int KType             = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("knockout_type")) );
   double S              = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("spot_rate")) );
   int Ko_compare_mult   = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("multiplier")) );
+  int ConvertNotional   = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("convert_notional")) );
 
   // assign leg specific attributes
   double *pvs_pos     = ( double* ) malloc( SCount * sizeof(double) );
@@ -208,6 +209,15 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         } else {
           profit_loss = (*( USts_array + leg )) - Spot;
         }
+
+        if (ConvertNotional == 1){
+          if(Spot < *( Ps_array + leg )){
+            Ns_array[leg] = *(Ns_array + leg) / *( LSts_array + leg );
+          } else {
+            Ns_array[leg] = *(Ns_array + leg) / *( USts_array + leg );
+          }
+        }
+
         // dash
         if ( Spot_dash < *( LSts_array + leg ) ) {
           profit_loss_dash = Spot_dash - (*( LSts_array + leg ));
@@ -315,6 +325,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     if( KType == ABSOLUTE || KType == PIVOT_ABSOLUTE || KType == COLLAR_ABSOLUTE || KType == DOUBLE_STRIKE_ABSOLUTE ) {
       for( leg = 0; leg < NL; ++leg ) {
         // simulation normal
+        rb_p(*(Ns_array +leg ));
         if( ko_so_far > 0.0 ) {
           if( sim[leg] >= 0.0 ) {
             // knock out condition

data/lib/tarf_monte_carlo/version.rb

@@ -1,7 +1,7 @@
 # gem build tarf_monte_carlo.gemspec
-# gem push -v tarf_monte_carlo-3.15.3.gem
+# gem push -v tarf_monte_carlo-3.17.gem
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.15.3"
+  VERSION = "3.20"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: 3.15.3
+  version: '3.20'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-09-17 00:00:00.000000000 Z
+date: 2020-09-24 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler