tarf_monte_carlo 3.32 → 3.33

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
-  metadata.gz: 2fd5c07e07e1a0fa016c6f8137c1e2b964f031b7210dca898e4d1006c0781ff4
-  data.tar.gz: 95210edd7247efc5785fec37c5c13cbe64f86a7509570382f19234174a021e4c
+  metadata.gz: f01c36b2c17eecf4dc3dae2cabe4e7eaecc613f70813de0f80bcfee81abd8005
+  data.tar.gz: e914b80b2b9c54f40e117aa65ada3caac54bfcc603114292d712b1d7eeb20e68
 SHA512:
-  metadata.gz: b9da6d59b8810e6ff75ca95a02c66f59081dfc368bca41de0b809a6c14468b5c1935e07bcb3ba8108766b423177b43d454788fd62c44566747c2f2122a412626
-  data.tar.gz: a954cdf5255f86459bae5c6c171b9232dfce4ec4fa13e1f1ef8d5ebfe18beac0defbcbb3ba6d33fbe05af28c889b28031139b60d5e2cac1fd4a468099c387d77
+  metadata.gz: 2d81d72be8b60152e95b2144961cb4529aebe67f07a9eda582897c0befb1ba595c96af7e4b3a856273de752d805650b8497eec0396469575c8bd04a7643dba97
+  data.tar.gz: b1000f8b7e734018cf5db0cdc60c467cd8792c43e4adec6da70950b6f3fd3de83c47a1a2fd7f8a39fb94b25edce659374bf78438f6690f8e5d6b11d82583f187

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -193,6 +193,7 @@ 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[SCount];
   metrics = ( double** ) malloc( DATAPOINTS * sizeof(double*) );
   for( metric = 0; metric < DATAPOINTS; metric++ ) {
     metrics[metric] = ( double* ) malloc( NL * sizeof(double) );
@@ -205,6 +206,9 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   // run simulations loop
   for( sim_count = 0; sim_count < SCount; sim_count += 2 ) {
     // initial spot rate for each iteration would be current spot rate
+    data[sim_count] = 0;
+    data[sim_count + 1] = 0;
+
     double Spot = S, Spot_dash = S;
     double sim[NL], sim_pos[NL], sim_neg[NL], sim_dash[NL], sim_dash_pos[NL], sim_dash_neg[NL];
 
@@ -391,6 +395,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE){
       if(knockedLeg >= 0){
         double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg ) ), sim[NL-1]);
+        data[sim_count] = equivalent_notional;
         sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
       else{
@@ -398,6 +403,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       }
       if(knockedLeg_dash >= 0 ){
         double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
+        data[sim_count + 1] = equivalent_notional;
         sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
       else{
@@ -584,14 +590,14 @@ 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 < DATAPOINTS; metric++) {
-    VALUE leg_metrics = rb_ary_new();
+  for(metric = 0; metric < SCount; metric++) {
+    // VALUE leg_metrics = rb_ary_new();
 
-    for(leg = 0; leg < NL; leg++) {
-      rb_ary_push( leg_metrics, DBL2NUM( metrics[metric][leg] ) );
-    }
+    // for(leg = 0; leg < NL; leg++) {
+    //   rb_ary_push( leg_metrics, DBL2NUM( metrics[metric][leg] ) );
+    // }
 
-    rb_ary_push(final_metrics, leg_metrics);
+    rb_ary_push(final_metrics, data[metric]);
   }
 
   // rb_p(rb_str_new2("Generating output hash"));

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.32"
+  VERSION = "3.33"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.32'
+  version: '3.33'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-10-03 00:00:00.000000000 Z
+date: 2020-10-05 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler