tarf_monte_carlo 3.4 → 3.5

checksums.yaml

@@ -1,7 +1,7 @@
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+  data.tar.gz: a0f8a59cc28cec075cdaf3181aa41df49068efa7ef53613fb840d7582f91194d
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -77,13 +77,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   int leg, sim_count, metric, point_pos = 0;
   double pvs_pos_sum = 0.0, pvs_neg_sum = 0.0;
 
-  int SCount = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("scount")) ) * 2;
-  int MCType = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("mc_type")) );
-  int NL     = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("legs_count")) );
-  int BS     = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("buy_sell")) );
-  double K   = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("knockout")) );
-  int KType  = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("knockout_type")) );
-  double S   = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("spot_rate")) );
+  int SCount            = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("scount")) ) * 2;
+  int MCType            = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("mc_type")) );
+  int NL                = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("legs_count")) );
+  int BS                = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("buy_sell")) );
+  double K              = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("knockout")) );
+  int KType             = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("knockout_type")) );
+  double S              = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("spot_rate")) );
+  int Ko_compare_mult   = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("multiplier")) );
 
   // assign leg specific attributes
   double *pvs_pos   = ( double* ) malloc( SCount * sizeof(double) );
@@ -201,13 +202,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           if( sim[leg] >= 0.0 ) {
             // knock out condition
             double temp_payoff = sim[leg] * ( *( Ns_array + leg ) );
+            double temp_payoff_ko_ccy = temp_payoff * pow( *( Xs_array + leg ), Ko_compare_mult );
 
-            if( temp_payoff > ko_so_far ) {
-              sim_pos[leg] = ko_so_far;
+            if( temp_payoff_ko_ccy > ko_so_far ) {
+              sim_pos[leg] = ko_so_far * pow( *( Xs_array + leg ), Ko_compare_mult );
               ko_so_far = 0.0;
-            } else if( temp_payoff <= ko_so_far ) {
+            } else if( temp_payoff_ko_ccy <= ko_so_far ) {
               sim_pos[leg] = temp_payoff; // take the payoff in +ve's
-              ko_so_far -= temp_payoff; // update the knock out
+              ko_so_far -= temp_payoff_ko_ccy; // update the knock out
             }
           } else {
             sim_neg[leg] = sim[leg] * ( *( Ls_array + leg ) ) * ( *( Ns_array + leg ) );
@@ -219,13 +221,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           if( sim_dash[leg] >= 0.0 ) {
             // knock out condition
             double temp_payoff_dash = sim_dash[leg] * ( *( Ns_array + leg ) );
+            double temp_payoff_ko_ccy = temp_payoff_dash * pow( *( Xs_array + leg ), Ko_compare_mult );
 
-            if( temp_payoff_dash > ko_so_far_dash ) {
-              sim_dash_pos[leg] = ko_so_far_dash;
+            if( temp_payoff_ko_ccy > ko_so_far_dash ) {
+              sim_dash_pos[leg] = ko_so_far_dash * pow( *( Xs_array + leg ), Ko_compare_mult );
               ko_so_far_dash = 0.0;
-            } else if( temp_payoff_dash <= ko_so_far_dash ) {
+            } else if( temp_payoff_ko_ccy <= ko_so_far_dash ) {
               sim_dash_pos[leg] = temp_payoff_dash; // take the payoff in +ve's
-              ko_so_far_dash -= temp_payoff_dash; // update the knock out
+              ko_so_far_dash -= temp_payoff_ko_ccy; // update the knock out
             }
           } else {
             sim_dash_neg[leg] = sim_dash[leg] * ( *( Ls_array + leg ) ) * ( *( Ns_array + leg ) );

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.4"
+  VERSION = "3.5"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.4'
+  version: '3.5'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-04-02 00:00:00.000000000 Z
+date: 2020-04-05 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler