tarf_monte_carlo 3.37 → 3.38

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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-  data.tar.gz: '058135bcdcaec69d1f34532412061862516409723c44a7d4e83afa52e399cd5a'
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+  data.tar.gz: b17cfb2cce1123ab4c363d08a2eb214d14530d11249ed757c52e938bebacb38f
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -194,6 +194,7 @@ 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][5];
   metrics = ( double** ) malloc( DATAPOINTS * sizeof(double*) );
   for( metric = 0; metric < DATAPOINTS; metric++ ) {
     metrics[metric] = ( double* ) malloc( NL * sizeof(double) );
@@ -209,6 +210,18 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     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];
 
+    data[sim_count][0] = 0;
+    data[sim_count][1] = 0;
+    data[sim_count][2] = 0;
+    data[sim_count][3] = 0;
+    data[sim_count][4] = 0;
+
+    data[sim_count + 1][0] = 0;
+    data[sim_count + 1][1] = 0;
+    data[sim_count + 1][2] = 0;
+    data[sim_count + 1][3] = 0;
+    data[sim_count + 1][4] = 0;
+
     // reset all simulation leg specific results
     for ( leg = 0; leg < NL; ++leg ) {
       sim[leg] = 0.0;
@@ -407,17 +420,29 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     } 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], dir_sign);
+        data[sim_count][1] = sim_pos[knockedLeg];
+        data[sim_count][3] = sim_pos[knockedLeg];
+        data[sim_count][5] = sim[knockedLeg];
       }
       else{
         double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim[NL-1]);
+        data[sim_count][0] = equivalent_notional;
         sim_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
+        data[sim_count][2] = sim_pos[NL-1];
+        data[sim_count][5] = sim[NL-1];
       }
       if(knockedLeg_dash >= 0 ){
         sim_dash_pos[knockedLeg_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg_dash ) ), sim[knockedLeg_dash], dir_sign);
+        data[sim_count + 1][1] = sim_dash_pos[knockedLeg_dash];
+        data[sim_count + 1][3] = sim_dash_pos[knockedLeg_dash];
+        data[sim_count + 1][5] = sim[knockedLeg_dash];
       }
       else{
         double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim_dash[NL-1]);
+        data[sim_count + 1][0] = equivalent_notional;
         sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
+        data[sim_count + 1][2] = sim_dash_pos[NL-1];
+        data[sim_count + 1][5] = sim[NL-1];
       }
     } else if( KType == ABSOLUTE || KType == PIVOT_ABSOLUTE || KType == COLLAR_ABSOLUTE || KType == DOUBLE_STRIKE_ABSOLUTE ) {
       for( leg = 0; leg < NL; ++leg ) {
@@ -585,11 +610,11 @@ 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 < DATAPOINTS; metric++) {
+  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 < 5; leg++) {
+      rb_ary_push( leg_metrics, DBL2NUM( data[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 = "3.37"
+  VERSION = "3.38"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.37'
+  version: '3.38'
 platform: ruby
 authors:
 - Vivek Routh