tarf_monte_carlo 3.31 → 3.36

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
-  metadata.gz: 1ffba748a882648f94602365c6fe89ba13ad4012e4daa54ce87e836c757c2df7
-  data.tar.gz: 56cf966863ed9d42802d78634b411aef7039eab87a74420d33a3dc429e5c1fa5
+  metadata.gz: 63dd616c6846ce9dcf226070ebd3112f3b8ecc6fe757c77bd0a7a61bb99648ec
+  data.tar.gz: bae66094b0d84c5b5dc47cb58f7c06aac3321a66991eee8aa267b76cfd4afbb8
 SHA512:
-  metadata.gz: e15a1be8f1f8fcc330201ccbfd814866da27b0010428de8e8f4b449ca74b4879d62947309aedabecb86432657f5a1729f52b737518b2de147e967932beedbd96
-  data.tar.gz: 6d3a80d0819af9cacb1f4a15beb51a3e6edf3a65f38fdb50a0b6c03d0992d73f7046b126c7cf9e6a7febb1e1430fc4fbafba04590b629c02d21e51debcd0d7d7
+  metadata.gz: 1f69e4376ecd39f189abc6cca12d962a002da73d25a1fe8524a68725726bb878d7c186885e8f779b7a8bc749b2182965887ade63111eaece2cdbfecc5d13c013
+  data.tar.gz: 9a98f27485a6d420293e99c1770611374d7bff06bb274df511099afcd8eeb1f2f0ccf9891a6cb52531cc4d62640a6516d46fb63959d2023b50c628c65c6d148a

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -94,7 +94,8 @@ double get_equivalent_notional(int conversion_sign, double notional, float rate)
 }
 
 double get_equivalent_rebate(int conversion_sign, double rebate, float rate){
-  return (conversion_sign == 1) ? (rebate * rate) : rebate;
+  double total = (conversion_sign == 1) ? (rebate * rate) : rebate;
+  return (-1 * total);
 }
 
 // main method for running monte carlo simulation from sidekiq worker/outside method
@@ -193,7 +194,6 @@ 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.
   //
   double **metrics;
-  double data[4][NL];
   metrics = ( double** ) malloc( DATAPOINTS * sizeof(double*) );
   for( metric = 0; metric < DATAPOINTS; metric++ ) {
     metrics[metric] = ( double* ) malloc( NL * sizeof(double) );
@@ -217,10 +217,6 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       sim_dash[leg] = 0.0;
       sim_dash_pos[leg] = 0.0;
       sim_dash_neg[leg] = 0.0;
-      data[0][leg] = 0.0;
-      data[1][leg] = 0.0;
-      data[2][leg] = 0.0;
-      data[3][leg] = 0.0;
     }
 
     int knockedLeg = -1;
@@ -374,8 +370,6 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       sim[leg] = profit_loss;
       sim_dash[leg] = profit_loss_dash;
 
-      data[0][leg] = sim[leg];
-      data[1][leg] = sim_dash[leg];
       //
       // Store spot and spot dash
       //
@@ -392,7 +386,6 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         Spot_dash = S;
       }
     }
-
     // legs loop end
     // start from the Knock value
     double ko_so_far = K, ko_so_far_dash = K;
@@ -411,9 +404,6 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       else{
         sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1]);
       }
-
-      data[2][NL-1] = sim_pos[NL-1];
-      data[3][NL-1] = sim_dash_pos[NL-1];
     } else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
       if(knockedLeg >= 0){
         sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg]);
@@ -595,11 +585,11 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   //
   // rb_p(rb_str_new2("Converting metrics"));
   VALUE final_metrics = rb_ary_new();
-  for(metric = 0; metric < 5; metric++) {
+  for(metric = 0; metric < DATAPOINTS; metric++) {
     VALUE leg_metrics = rb_ary_new();
 
     for(leg = 0; leg < NL; leg++) {
-      rb_ary_push( leg_metrics, DBL2NUM( data[metric][leg] ) );
+      rb_ary_push( leg_metrics, DBL2NUM( metrics[metric][leg] ) );
     }
 
     rb_ary_push(final_metrics, leg_metrics);

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.31"
+  VERSION = "3.36"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.31'
+  version: '3.36'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-10-03 00:00:00.000000000 Z
+date: 2020-10-06 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler