tarf_monte_carlo 3.33 → 3.34
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- checksums.yaml +4 -4
- data/ext/tarf_monte_carlo/tarf_monte_carlo.c +4 -2
- data/lib/tarf_monte_carlo/version.rb +1 -1
- metadata +1 -1
checksums.yaml
CHANGED
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@@ -1,7 +1,7 @@
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1
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---
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SHA256:
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metadata.gz:
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4
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data.tar.gz:
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metadata.gz: 6ba6dd94cb23ba87cba4dfe1247ff41902d8644efacbbbf1b712ea7d61cc8341
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4
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data.tar.gz: da934c46905408ad6bc80694e4b2644535078437fd347c8f986aa9eb71c777b0
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: b08cf5f89f3776766cb26d99fdad66b67f2783312ce9489f9ae934ffc359601261b80f9f0f9a2bbb19fd346f8230a3934ce6080ea0b4d755b3bbba34bbc7f1e2
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7
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data.tar.gz: b016ab0298d3041ab725d37a3a7aa74be2f8fbe33d510c2f6ef1dd55298d1d1209694234a227b028ed01d50009c112a15ebeaf5a07b2edce43e3e098bc01e23f
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@@ -90,11 +90,13 @@ double european_payoff(double strike, double spot, int cp_sign, int dir_sign, do
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}
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double get_equivalent_notional(int conversion_sign, double notional, float rate){
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93
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-
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93
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+
double eq = (conversion_sign == 1) ? (notional / rate) : notional;
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return eq;
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}
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double get_equivalent_rebate(int conversion_sign, double rebate, float rate){
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-
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98
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double eq = (conversion_sign == 1) ? (rebate * rate) : rebate;
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return eq;
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}
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// main method for running monte carlo simulation from sidekiq worker/outside method
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