tarf_monte_carlo 3.40 → 3.41

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -417,7 +417,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       else{
         sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1], dir_sign);
       }
-      if ((sim_count % INTERVAL) == 0){
+      if ((sim_count + 2) % INTERVAL == 0){
         metrics[0][sim_count] = sim[NL-1];
         metrics[1][sim_count] = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
         metrics[0][sim_count+1] = sim_dash[NL-1];
@@ -439,7 +439,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
 
-      if ((sim_count % INTERVAL) == 0){
+      if ((sim_count + 2) % INTERVAL == 0){
         metrics[0][sim_count] = (knockedLeg >= 0) ? sim[knockedLeg] : sim[NL-1];
         metrics[1][sim_count] = ( *( Xs_array + 0 ) );
         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 ) {
     pvs_pos[sim_count + 1]  = sim_dash_pos_sum;
     pvs_neg[sim_count]      = sim_neg_sum;
     pvs_neg[sim_count + 1]  = sim_dash_neg_sum;
-    if ((sim_count % INTERVAL) == 0){
+    if ((sim_count + 2) % INTERVAL == 0){
       metrics[2][sim_count]   = sim_pos_sum;
       metrics[2][sim_count+1] = sim_dash_pos_sum;
     }

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.40"
+  VERSION = "3.41"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.40'
+  version: '3.41'
 platform: ruby
 authors:
 - Vivek Routh