tarf_monte_carlo 3.24 → 3.25

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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+  metadata.gz: 9b578a4483961831037817279e8d1f3d6fe7e55e4312b51ccac26e757e520996
+  data.tar.gz: 7ce9ff317c5f1383499ec18c50be613ec4b9955be99101e9c0aa9b7385c67874
 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) );
@@ -248,6 +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 ));
           }
@@ -256,6 +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 ));
           }
@@ -283,6 +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 );
           }
@@ -291,6 +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 );
           }
@@ -367,7 +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 )));
+        // 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 = "3.24"
+  VERSION = "3.25"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.24'
+  version: '3.25'
 platform: ruby
 authors:
 - Vivek Routh