tarf_monte_carlo 3.16 → 3.21
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- checksums.yaml +4 -4
- data/ext/tarf_monte_carlo/tarf_monte_carlo.c +10 -0
- data/lib/tarf_monte_carlo/version.rb +2 -2
- metadata +2 -2
checksums.yaml
CHANGED
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@@ -1,7 +1,7 @@
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1
1
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---
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2
2
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SHA256:
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3
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-
metadata.gz:
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4
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-
data.tar.gz:
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3
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+
metadata.gz: 276f4ff7b4eb01c384357328380f3b18d92b08840143aa4e6731fa6bc956af33
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4
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+
data.tar.gz: 9218e8c67cc612d0680d3a3add75b9d45d01e761b30fbdc8be6a5cfe572a0a15
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5
5
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SHA512:
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6
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-
metadata.gz:
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7
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-
data.tar.gz:
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6
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+
metadata.gz: f198b43f339a2b9a2d64081c32bbba09e4a2db1889fbce918c80347c7297d421944192a587d56c080716d283414e5baa5aa3425e052f09285247c3a6fb52a1b9
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7
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+
data.tar.gz: 552ec2cd2724a5eec02ad9deae62c3e8a0db8b14793ca990236cceaa0dff1ed3ff0148616a3cc087ab81d8cd3ab654210258d2ef10337488066cbd81b4b866aa
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@@ -98,6 +98,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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98
98
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int KType = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("knockout_type")) );
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99
99
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double S = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("spot_rate")) );
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100
100
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int Ko_compare_mult = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("multiplier")) );
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101
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+
int ConvertNotional = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("convert_notional")) );
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101
102
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102
103
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// assign leg specific attributes
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103
104
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double *pvs_pos = ( double* ) malloc( SCount * sizeof(double) );
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@@ -208,6 +209,15 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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208
209
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} else {
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209
210
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profit_loss = (*( USts_array + leg )) - Spot;
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210
211
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}
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212
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+
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213
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if (ConvertNotional == 1){
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214
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if(Spot < *( Ps_array + leg )){
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215
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+
Ns_array[leg] = DBL2NUM( *(Ns_array + leg) / *( LSts_array + leg ));
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216
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+
} else {
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217
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+
Ns_array[leg] = DBL2NUM( *(Ns_array + leg) / *( USts_array + leg ));
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218
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+
}
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219
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+
}
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220
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+
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211
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// dash
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212
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if ( Spot_dash < *( LSts_array + leg ) ) {
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213
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profit_loss_dash = Spot_dash - (*( LSts_array + leg ));
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metadata
CHANGED
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@@ -1,14 +1,14 @@
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1
1
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--- !ruby/object:Gem::Specification
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2
2
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name: tarf_monte_carlo
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3
3
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version: !ruby/object:Gem::Version
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4
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-
version: '3.
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4
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+
version: '3.21'
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5
5
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platform: ruby
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6
6
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authors:
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7
7
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- Vivek Routh
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8
8
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autorequire:
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9
9
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bindir: exe
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10
10
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cert_chain: []
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11
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-
date: 2020-09-
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11
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+
date: 2020-09-24 00:00:00.000000000 Z
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12
12
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dependencies:
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13
13
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- !ruby/object:Gem::Dependency
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14
14
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name: bundler
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