tarf_monte_carlo 3.26 → 3.27

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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+  data.tar.gz: 94374cdfc84f4afc0f72f384ee068cd0ff4374f628714b452e5150048f1c8298c5cd5d141f4cd0d04cdffb80ce4a6f4330b7bdfb613d50083e24d626c606a2ad

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -228,12 +228,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           profit_loss = dir_sign * dir2_sign * cp_sign * ( Spot - ( *( Xs_array + leg ) ) );
         }
 
-        if(knockedLeg_dash == -1 && knockin_dash > 0){
-          knockedLeg_dash = leg;
-        }
-        if(knockedLeg_dash == -1 && knockin_dash < 0 && KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
-          profit_loss = dir_sign * dir2_sign * cp_sign * ( Spot_dash - ( *( Xs_array + leg ) ) );
-        }
+        // if(knockedLeg_dash == -1 && knockin_dash > 0){
+        //   knockedLeg_dash = leg;
+        // }
+        // if(knockedLeg_dash == -1 && knockin_dash < 0 && KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
+        //   profit_loss = dir_sign * dir2_sign * cp_sign * ( Spot_dash - ( *( Xs_array + leg ) ) );
+        // }
 
       } else if ( KType == DOUBLE_STRIKE_POINTS || KType == DOUBLE_STRIKE_ABSOLUTE || KType == DOUBLE_STRIKE_LEGS ) {
         if ( Spot < *( LSts_array + leg ) ) {
@@ -378,9 +378,9 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       if(knockedLeg >= 0){
         sim_pos[knockedLeg] = dir_sign * dir2_sign * cp_sign * ( Spot - ( *( Xs_array + (knockedLeg) ) ) ) * ( *( Ns_array + knockedLeg ) );
       }
-      if(knockedLeg_dash >= 0 ){
-        sim_dash_pos[knockedLeg_dash] = dir_sign * dir2_sign * cp_sign * ( Spot_dash - ( *( Xs_array + (knockedLeg_dash) ) ) ) * ( *( Ns_array + knockedLeg_dash ) );
-      }
+      // if(knockedLeg_dash >= 0 ){
+      //   sim_dash_pos[knockedLeg_dash] = dir_sign * dir2_sign * cp_sign * ( Spot_dash - ( *( Xs_array + (knockedLeg_dash) ) ) ) * ( *( Ns_array + knockedLeg_dash ) );
+      // }
     } else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
       int brk_flg = 1;
       int brk_flg_dash = 1;

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.26"
+  VERSION = "3.27"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.26'
+  version: '3.27'
 platform: ruby
 authors:
 - Vivek Routh