tarf_monte_carlo 3.40 → 3.41
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- checksums.yaml +4 -4
- data/ext/tarf_monte_carlo/tarf_monte_carlo.c +3 -3
- data/lib/tarf_monte_carlo/version.rb +1 -1
- metadata +1 -1
checksums.yaml
CHANGED
|
@@ -1,7 +1,7 @@
|
|
|
1
1
|
---
|
|
2
2
|
SHA256:
|
|
3
|
-
metadata.gz:
|
|
4
|
-
data.tar.gz:
|
|
3
|
+
metadata.gz: 613891fdd7b41ca68d9e30b1b3106545dbfdcaab578ea5be585b8e8c33875f7a
|
|
4
|
+
data.tar.gz: 62de3fcb90c0edfe1298938ed9e351a54a39e42366de3da5a1a01cc230c65712
|
|
5
5
|
SHA512:
|
|
6
|
-
metadata.gz:
|
|
7
|
-
data.tar.gz:
|
|
6
|
+
metadata.gz: 4da0be66316bb60b507176f283a8d87bc02c83e3b9218fd198812c0847c94410f79ff5c87c4ceae83084546747c711264eca1c98dc104af7511e704a221c11e2
|
|
7
|
+
data.tar.gz: b2ee2e95b2f23b628e69b6e6b4e334c9453f6325e4374d43dffbaf4cff51217899f56b48f41a7ce2bd3c0abba4c819689233aa4df0fe343d5a644d26d58b5f53
|
|
@@ -417,7 +417,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
|
417
417
|
else{
|
|
418
418
|
sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1], dir_sign);
|
|
419
419
|
}
|
|
420
|
-
if ((sim_count % INTERVAL
|
|
420
|
+
if ((sim_count + 2) % INTERVAL == 0){
|
|
421
421
|
metrics[0][sim_count] = sim[NL-1];
|
|
422
422
|
metrics[1][sim_count] = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
|
|
423
423
|
metrics[0][sim_count+1] = sim_dash[NL-1];
|
|
@@ -439,7 +439,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
|
439
439
|
sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
|
|
440
440
|
}
|
|
441
441
|
|
|
442
|
-
if ((sim_count % INTERVAL
|
|
442
|
+
if ((sim_count + 2) % INTERVAL == 0){
|
|
443
443
|
metrics[0][sim_count] = (knockedLeg >= 0) ? sim[knockedLeg] : sim[NL-1];
|
|
444
444
|
metrics[1][sim_count] = ( *( Xs_array + 0 ) );
|
|
445
445
|
metrics[0][sim_count+1] = (knockedLeg_dash >= 0) ? sim[knockedLeg_dash] : sim[NL-1];
|
|
@@ -572,7 +572,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
|
572
572
|
pvs_pos[sim_count + 1] = sim_dash_pos_sum;
|
|
573
573
|
pvs_neg[sim_count] = sim_neg_sum;
|
|
574
574
|
pvs_neg[sim_count + 1] = sim_dash_neg_sum;
|
|
575
|
-
if ((sim_count % INTERVAL
|
|
575
|
+
if ((sim_count + 2) % INTERVAL == 0){
|
|
576
576
|
metrics[2][sim_count] = sim_pos_sum;
|
|
577
577
|
metrics[2][sim_count+1] = sim_dash_pos_sum;
|
|
578
578
|
}
|