tarf_monte_carlo 3.2.1 → 3.2.5

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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-  data.tar.gz: eeb37d954cccbd49685804b31aae18df4e26df1b7f3b645c76693d620c37c1f7
+  metadata.gz: 952162cf5265bbbe96f76316c5b3e4622136bc8a92f687e20ab06a02b2bd722a
+  data.tar.gz: bae272fc02f0f90e3a71ae7f7be76d2946a8f220a98b2e9400f52c11911dcea8
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+  data.tar.gz: e2513d472eb9f93fe52dee7ff0f45fde7762db1a03d4bae5a79b73210a40e4c4b287574fc87f0e1c9b0f3eae1b98b385dce45e1f64705cb3ab26da9c7e83c642

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

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

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.2.1"
+  VERSION = "3.2.5"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: 3.2.1
+  version: 3.2.5
 platform: ruby
 authors:
 - Vivek Routh