tarf_monte_carlo 3.20 → 3.25

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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-  data.tar.gz: 8b51b8b9d812ef9c47aa51d57f0bdb5e65077599119a869481e4572ba322efde
+  metadata.gz: 9b578a4483961831037817279e8d1f3d6fe7e55e4312b51ccac26e757e520996
+  data.tar.gz: 7ce9ff317c5f1383499ec18c50be613ec4b9955be99101e9c0aa9b7385c67874
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -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 )  {
@@ -211,10 +213,10 @@ 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 );
           }
         }
 
@@ -246,6 +248,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
             profit_loss = 0.0;
           } else if(Spot <= *( CFs_array + leg )){
             profit_loss = Spot - (*( CFs_array + leg ));
+
+            if (ConvertNotional == 1){
+              Ns_array[leg] = *(TempNs_array + leg) / *( CFs_array + leg );
+            }
           } else {
             profit_loss = Spot - (*( Xs_array + leg ));
           }
@@ -254,6 +260,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
             profit_loss_dash = 0.0;
           } else if(Spot_dash <= *( CFs_array + leg )){
             profit_loss_dash = Spot_dash - (*( CFs_array + leg ));
+
+            if (ConvertNotional == 1){
+              Ns_array[leg] = *(TempNs_array + leg) / *( CFs_array + leg );
+            }
           } else {
             profit_loss_dash = Spot_dash - (*( Xs_array + leg ));
           }
@@ -281,6 +291,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
             profit_loss = 0.0;
           } else if(Spot >= *( CFs_array + leg )){
             profit_loss = ( ( *( CFs_array + leg ) ) - Spot );
+
+            if (ConvertNotional == 1){
+              Ns_array[leg] = *(TempNs_array + leg) / *( CFs_array + leg );
+            }
           } else {
             profit_loss = ( ( *( Xs_array + leg ) ) - Spot );
           }
@@ -289,6 +303,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
             profit_loss_dash = 0.0;
           } else if(Spot_dash >= *( CFs_array + leg )){
             profit_loss_dash = ( ( *( CFs_array + leg ) ) - Spot_dash );
+
+            if (ConvertNotional == 1){
+              Ns_array[leg] = *(TempNs_array + leg) / *( CFs_array + leg );
+            }
           } else {
             profit_loss_dash = ( ( *( Xs_array + leg ) ) - Spot_dash );
           }
@@ -325,7 +343,6 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     if( KType == ABSOLUTE || KType == PIVOT_ABSOLUTE || KType == COLLAR_ABSOLUTE || KType == DOUBLE_STRIKE_ABSOLUTE ) {
       for( leg = 0; leg < NL; ++leg ) {
         // simulation normal
-        rb_p(*(Ns_array +leg ));
         if( ko_so_far > 0.0 ) {
           if( sim[leg] >= 0.0 ) {
             // knock out condition
@@ -366,6 +383,7 @@ 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 = "3.20"
+  VERSION = "3.25"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.20'
+  version: '3.25'
 platform: ruby
 authors:
 - Vivek Routh