tarf_monte_carlo 3.2.1 → 3.2.5
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 +6 -7
- 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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metadata.gz: 952162cf5265bbbe96f76316c5b3e4622136bc8a92f687e20ab06a02b2bd722a
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data.tar.gz: bae272fc02f0f90e3a71ae7f7be76d2946a8f220a98b2e9400f52c11911dcea8
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: 9516e88228e90b622d4d79e7d3e2a770ea13d645b703db2aeb5bffd135302fd6b91874043d193eddd46b6c2405ea319ec964cecbb431787332af29ed5d507e14
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data.tar.gz: e2513d472eb9f93fe52dee7ff0f45fde7762db1a03d4bae5a79b73210a40e4c4b287574fc87f0e1c9b0f3eae1b98b385dce45e1f64705cb3ab26da9c7e83c642
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@@ -30,6 +30,7 @@
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#define LEGS 3 // knockout by legs
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#define DATAPOINTS 200 // data for plotting
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#define INTERVAL 50
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#define SIM_LIMIT 96 // 96 + 4 = 100 simulations nedded
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// Defining a space for information and references
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// about the module to be stored internally
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@@ -73,7 +74,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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srand( time(0) );
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// initialize payoffs array
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int leg, sim_count;
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int leg, sim_count, metric, point_pos = 0;
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double pvs_pos_sum = 0.0, pvs_neg_sum = 0.0;
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int SCount = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("scount")) ) * 2;
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@@ -116,18 +117,15 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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//
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// first create a 1-D array of pointers, and then, for each array entry, create another 1-D array.
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//
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int metric;
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double **metrics;
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metrics = ( double** ) malloc( DATAPOINTS * sizeof(double*) );
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for( metric = 0; metric < DATAPOINTS; metric++ ) {
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metrics[metric] = ( double* ) malloc( NL * sizeof(double) );
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for(metric = 0; metric < DATAPOINTS; metric++) {
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for(leg = 0; leg < NL; leg++) {
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metrics[metric][leg] = 0.0;
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}
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}
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int point_pos = 0;
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// run simulations loop
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for( sim_count = 0; sim_count < SCount; sim_count += 2 ) {
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@@ -179,7 +177,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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//
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// Store spot and spot dash
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//
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if( (sim_count + 2) % INTERVAL == 0 ) {
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if( point_pos <= SIM_LIMIT && (sim_count + 2) % INTERVAL == 0 ) {
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rb_p(rb_str_new2("Leg:Spots"));
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metrics[ point_pos ][ leg ] = Spot;
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metrics[ point_pos + 2 ][ leg ] = Spot_dash;
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@@ -300,7 +298,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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//
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// store and send whichever payoff you want
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//
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if( (sim_count + 2) % INTERVAL == 0 ) {
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if( point_pos <= SIM_LIMIT && (sim_count + 2) % INTERVAL == 0 ) {
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rb_p(rb_str_new2("Leg:Payoffs"));
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metrics[ point_pos + 1 ][ leg ] = sim_pos[leg];
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metrics[ point_pos + 3 ][ leg ] = sim_dash_pos[leg];
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@@ -320,6 +318,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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//
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// increment metric storing point by 4
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// Note: no limit condition here
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//
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if( (sim_count + 2) % INTERVAL == 0 ) {
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rb_p(rb_str_new2("T:"));
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