tarf_monte_carlo 3.19 → 3.24
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 +7 -5
- data/lib/tarf_monte_carlo/version.rb +1 -1
- metadata +1 -1
checksums.yaml
CHANGED
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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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3
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metadata.gz: 82676c437016c3396bd0732ee1d20db01a0d4fea1243b3a4555a3b746024874b
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4
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data.tar.gz: 774bf6b5cd0f5193c23477bd190aa88d538ae8f5977151e4129928ec13775354
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: f51579af9e3911d5a23324af39aee42d877e7067d86cf2781889de751fb49fff7df31be62acc450aaed89c7bf85d3f0759c34fb94de6445c47f4392226623e3b
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7
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data.tar.gz: fdaff8bcd7ec29be4c0478cad38fe3469baea9ce657262c6e5422967968ccd7a463da96a477cc27bcc9906b5245a28707afac62cb4d1a93c29b9f73a51b25386
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@@ -81,7 +81,7 @@ VALUE method_box_muller( VALUE self ) {
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VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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VALUE MCInputs = rb_ary_shift(args);
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// rb_p(rb_str_new2("MC Inputs:"));
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-
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rb_p(MCInputs);
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// seed value for rand() function
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srand( time(0) );
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@@ -114,6 +114,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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double *CFs_array = ( double* ) malloc( NL * sizeof(double) );
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double *LSts_array = ( double* ) malloc( NL * sizeof(double) );
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double *USts_array = ( double* ) malloc( NL * sizeof(double) );
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double *TempNs_array = ( double* ) malloc( NL * sizeof(double) );
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VALUE Ls = rb_hash_aref(MCInputs, rb_str_new2("leverage_ratios") );
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VALUE Ts = rb_hash_aref(MCInputs, rb_str_new2("expiration_times") );
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@@ -135,6 +136,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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vs_array[leg] = NUM2DBL( rb_ary_entry(vs, leg) );
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bs_array[leg] = NUM2DBL( rb_ary_entry(bs, leg) );
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DFs_array[leg] = NUM2DBL( rb_ary_entry(DFs, leg) );
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TempNs_array[leg] = *(Ns_array + leg);
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}
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// extra tarf structures
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if ( KType == PIVOT_POINTS || KType == PIVOT_ABSOLUTE || KType == PIVOT_LEGS ) {
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@@ -211,13 +213,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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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] = *(
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if(Spot < *( Ps_array + leg ) || Spot_dash < *( Ps_array + leg )){
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Ns_array[leg] = *(TempNs_array + leg) / *( LSts_array + leg );
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} else {
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Ns_array[leg] = *(
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Ns_array[leg] = *(TempNs_array + leg) / *( USts_array + leg );
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}
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}
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-
rb_p(Ns_array[leg]);
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// dash
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if ( Spot_dash < *( LSts_array + leg ) ) {
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@@ -366,6 +367,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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} else if( KType == POINTS || KType == PIVOT_POINTS || KType == COLLAR_POINTS || KType == DOUBLE_STRIKE_POINTS ) {
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for( leg = 0; leg < NL; ++leg ) {
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// simulation normal
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rb_p(DBL2NUM(*(Ns_array + leg )));
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if ( ko_so_far > 0.0 ) {
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if( sim[leg] >= 0.0 ) {
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// knock out condition
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