tarf_monte_carlo 3.19 → 3.24

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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-  data.tar.gz: 974090ba8593ee28ec2375362edea36cc830cc7db18693b2541864d25139fb33
+  metadata.gz: 82676c437016c3396bd0732ee1d20db01a0d4fea1243b3a4555a3b746024874b
+  data.tar.gz: 774bf6b5cd0f5193c23477bd190aa88d538ae8f5977151e4129928ec13775354
 SHA512:
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -81,7 +81,7 @@ VALUE method_box_muller( VALUE self ) {
 VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   VALUE MCInputs = rb_ary_shift(args);
   // rb_p(rb_str_new2("MC Inputs:"));
-  // rb_p(MCInputs);
+  rb_p(MCInputs);
 
   // seed value for rand() function
   srand( time(0) );
@@ -114,6 +114,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   double *CFs_array   = ( double* ) malloc( NL * sizeof(double) );
   double *LSts_array  = ( double* ) malloc( NL * sizeof(double) );
   double *USts_array  = ( double* ) malloc( NL * sizeof(double) );
+  double *TempNs_array = ( double* ) malloc( NL * sizeof(double) );
 
   VALUE Ls = rb_hash_aref(MCInputs, rb_str_new2("leverage_ratios") );
   VALUE Ts = rb_hash_aref(MCInputs, rb_str_new2("expiration_times") );
@@ -135,6 +136,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     vs_array[leg] = NUM2DBL( rb_ary_entry(vs, leg) );
     bs_array[leg] = NUM2DBL( rb_ary_entry(bs, leg) );
     DFs_array[leg] = NUM2DBL( rb_ary_entry(DFs, leg) );
+    TempNs_array[leg] = *(Ns_array + leg);
   }
   // extra tarf structures
   if ( KType == PIVOT_POINTS || KType == PIVOT_ABSOLUTE || KType == PIVOT_LEGS )  {
@@ -211,13 +213,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         }
 
         if (ConvertNotional == 1){
-          if(Spot < *( Ps_array + leg )){
-            Ns_array[leg] = *(Ns_array + leg) / *( LSts_array + leg );
+          if(Spot < *( Ps_array + leg ) || Spot_dash < *( Ps_array + leg )){
+            Ns_array[leg] = *(TempNs_array + leg) / *( LSts_array + leg );
           } else {
-            Ns_array[leg] = *(Ns_array + leg) / *( USts_array + leg );
+            Ns_array[leg] = *(TempNs_array + leg) / *( USts_array + leg );
           }
         }
-        rb_p(Ns_array[leg]);
 
         // dash
         if ( Spot_dash < *( LSts_array + leg ) ) {
@@ -366,6 +367,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     } else if( KType == POINTS || KType == PIVOT_POINTS || KType == COLLAR_POINTS || KType == DOUBLE_STRIKE_POINTS ) {
       for( leg = 0; leg < NL; ++leg ) {
         // simulation normal
+        rb_p(DBL2NUM(*(Ns_array + leg )));
         if ( ko_so_far > 0.0 ) {
           if( sim[leg] >= 0.0 ) {
             // knock out condition

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.19"
+  VERSION = "3.24"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.19'
+  version: '3.24'
 platform: ruby
 authors:
 - Vivek Routh