tarf_monte_carlo 3.36 → 3.37

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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-  data.tar.gz: bae66094b0d84c5b5dc47cb58f7c06aac3321a66991eee8aa267b76cfd4afbb8
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+  data.tar.gz: '058135bcdcaec69d1f34532412061862516409723c44a7d4e83afa52e399cd5a'
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -58,7 +58,7 @@ VALUE cTarfMonteCarlo = Qnil;
 void Init_tarf_monte_carlo();
 double european_payoff(double, double, int, int, double);
 double get_equivalent_notional(int, double, float);
-double get_equivalent_rebate(int, double, float);
+double get_equivalent_rebate(int, double, float, int);
 
 // Prototype for our methods - methods are prefixed by 'method_' here
 VALUE method_box_muller( VALUE );
@@ -93,9 +93,9 @@ double get_equivalent_notional(int conversion_sign, double notional, float rate)
   return (conversion_sign == 1) ? (notional / rate) : notional;
 }
 
-double get_equivalent_rebate(int conversion_sign, double rebate, float rate){
+double get_equivalent_rebate(int conversion_sign, double rebate, float rate, int dir_sign){
   double total = (conversion_sign == 1) ? (rebate * rate) : rebate;
-  return (-1 * total);
+  return (-1 * dir_sign * total);
 }
 
 // main method for running monte carlo simulation from sidekiq worker/outside method
@@ -395,25 +395,25 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
       else{
-        sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1]);
+        sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1], dir_sign);
       }
       if(knockedLeg_dash >= 0 ){
         double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
         sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
       else{
-        sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1]);
+        sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1], dir_sign);
       }
     } 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]);
+        sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg], dir_sign);
       }
       else{
         double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim[NL-1]);
         sim_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
       if(knockedLeg_dash >= 0 ){
-        sim_dash_pos[knockedLeg_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg_dash ) ), sim[knockedLeg_dash]);
+        sim_dash_pos[knockedLeg_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg_dash ) ), sim[knockedLeg_dash], dir_sign);
       }
       else{
         double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim_dash[NL-1]);

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.36"
+  VERSION = "3.37"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.36'
+  version: '3.37'
 platform: ruby
 authors:
 - Vivek Routh