tarf_monte_carlo 3.40 → 3.45

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -196,7 +196,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   double **metrics;
   if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
     metrics = ( double** ) malloc( 3 * sizeof(double*) );
-    for( metric = 0; metric < 3; metric++ ) {
+    for( metric = 0; metric < 4; metric++ ) {
       metrics[metric] = ( double* ) malloc( DATAPOINTS * sizeof(double) );
       for(leg = 0; leg < DATAPOINTS; leg++) {
         metrics[metric][leg] = 0.0;
@@ -417,11 +417,16 @@ 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){
-        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];
-        metrics[1][sim_count+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
+      if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
+        metrics[0][point_pos] = sim[NL-1];
+        metrics[1][point_pos] = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
+        metrics[0][point_pos+1] = sim_dash[NL-1];
+        metrics[1][point_pos+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
+
+        metrics[2][point_pos]   = sim_pos[NL-1];
+        metrics[2][point_pos+1] = sim_dash_pos[NL-1];
+        metrics[3][point_pos]   = knockedLeg;
+        metrics[3][point_pos+1] = knockedLeg_dash;
       }
     } else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
       if(knockedLeg >= 0){
@@ -439,11 +444,11 @@ 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){
-        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];
-        metrics[1][sim_count+1] = ( *( Xs_array + 0 ) );
+      if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
+        metrics[0][point_pos] = (knockedLeg >= 0) ? sim[knockedLeg] : sim[NL-1];
+        metrics[1][point_pos] = ( *( Xs_array + 0 ) );
+        metrics[0][point_pos+1] = (knockedLeg_dash >= 0) ? sim[knockedLeg_dash] : sim[NL-1];
+        metrics[1][point_pos+1] = ( *( Xs_array + 0 ) );
       }
 
     } else if( KType == ABSOLUTE || KType == PIVOT_ABSOLUTE || KType == COLLAR_ABSOLUTE || KType == DOUBLE_STRIKE_ABSOLUTE ) {
@@ -572,19 +577,25 @@ 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){
-      metrics[2][sim_count]   = sim_pos_sum;
-      metrics[2][sim_count+1] = sim_dash_pos_sum;
-    }
 
-    //
-    // increment metric storing point by 4
-    // Note: no limit condition here
-    //
-    if( (sim_count + 2) % INTERVAL == 0 ) {
-      // rb_p(rb_str_new2("T:"));
-      // rb_p(INT2NUM(point_pos));
-      point_pos += 4;
+    
+    if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
+      if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
+        // metrics[2][point_pos]   = sim_pos_sum;
+        // metrics[2][point_pos+1] = sim_dash_pos_sum;
+        point_pos += 2;
+      }
+    }
+    else{
+      //
+      // increment metric storing point by 4
+      // Note: no limit condition here
+      //
+      if( (sim_count + 2) % INTERVAL == 0 ) {
+        // rb_p(rb_str_new2("T:"));
+        // rb_p(INT2NUM(point_pos));
+        point_pos += 4;
+      }
     }
   }
   // run simulations loop
@@ -618,9 +629,9 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   //
   // rb_p(rb_str_new2("Converting metrics"));
   VALUE final_metrics = rb_ary_new();
-
+  
   if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
-    for(metric = 0; metric < 3; metric++) {
+    for(metric = 0; metric < 4; metric++) {
       VALUE leg_metrics = rb_ary_new();
 
       for(leg = 0; leg < DATAPOINTS; leg++) {
@@ -652,12 +663,11 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   //
   // free your arrays from memory once you're done using them
   //
-  int dp = (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE) ? 3 : DATAPOINTS;
-
-  for(metric = 0; metric < dp; metric++) {
-    free( metrics[metric] );
-  }
-  free(metrics);
+  // int dp = (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE) ? 4 : DATAPOINTS; 
+  // for(metric = 0; metric < dp; metric++) {
+  //   free( metrics[metric] );
+  // }
+  // free(metrics);
 
   return final_pvs;
 }

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 = "3.45"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.40'
+  version: '3.45'
 platform: ruby
 authors:
 - Vivek Routh
@@ -140,7 +140,7 @@ required_rubygems_version: !ruby/object:Gem::Requirement
     - !ruby/object:Gem::Version
       version: '0'
 requirements: []
-rubygems_version: 3.0.6
+rubygems_version: 3.0.8
 signing_key: 
 specification_version: 4
 summary: Monte Carlo Simulation.