tarf_monte_carlo 3.16 → 3.21
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- 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
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@@ -1,7 +1,7 @@
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---
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SHA256:
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metadata.gz:
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data.tar.gz:
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metadata.gz: 276f4ff7b4eb01c384357328380f3b18d92b08840143aa4e6731fa6bc956af33
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data.tar.gz: 9218e8c67cc612d0680d3a3add75b9d45d01e761b30fbdc8be6a5cfe572a0a15
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: f198b43f339a2b9a2d64081c32bbba09e4a2db1889fbce918c80347c7297d421944192a587d56c080716d283414e5baa5aa3425e052f09285247c3a6fb52a1b9
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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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int KType = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("knockout_type")) );
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double S = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("spot_rate")) );
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int Ko_compare_mult = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("multiplier")) );
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int ConvertNotional = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("convert_notional")) );
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// assign leg specific attributes
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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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} else {
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profit_loss = (*( USts_array + leg )) - Spot;
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}
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if (ConvertNotional == 1){
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if(Spot < *( Ps_array + leg )){
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Ns_array[leg] = DBL2NUM( *(Ns_array + leg) / *( LSts_array + leg ));
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} else {
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Ns_array[leg] = DBL2NUM( *(Ns_array + leg) / *( USts_array + leg ));
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}
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}
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// dash
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if ( Spot_dash < *( LSts_array + leg ) ) {
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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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--- !ruby/object:Gem::Specification
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name: tarf_monte_carlo
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version: !ruby/object:Gem::Version
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version: '3.
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version: '3.21'
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platform: ruby
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authors:
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- Vivek Routh
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autorequire:
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bindir: exe
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cert_chain: []
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-
date: 2020-09-
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date: 2020-09-24 00:00:00.000000000 Z
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dependencies:
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- !ruby/object:Gem::Dependency
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name: bundler
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