tarf_monte_carlo 3.54 → 3.55

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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-  data.tar.gz: 79894b25d74fc53dfe3151009122e846323b18e31ba4ab71f4cced7edcad6eae
+  metadata.gz: '06542868a0a9e3446d59880a36f2cc1f2d46c09ecf446c71fcad3ec235b08938'
+  data.tar.gz: a6922adce8b10804cf0b7c09e837d91736863c7f97de606d1d7bd0ec2c80fe11
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+  data.tar.gz: 8a6fb8e1a8554fbda71200c360db164ec4bf07953f672b7bd6982f4c2b7d394c7930dac88931f801a93438568e5976be490d31d25c334beb82d8748ca18d49d9

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -469,7 +469,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         metrics[1][point_pos+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
         metrics[3][point_pos+1] = knockedLeg_dash;
       }
-    } else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI){
+    } else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP){
       if(knockedLeg2 >= 0){
         sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1], dir_sign);
       } else if(knockedLeg >= 0) {
@@ -483,6 +483,43 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
 
+      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[3][point_pos]   = knockedLeg;
+        metrics[0][point_pos+1] = sim_dash[NL-1];
+        metrics[1][point_pos+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
+        metrics[3][point_pos+1] = knockedLeg_dash;
+      }
+    } else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI){
+      if(knockedLeg >= 0 && knockedLeg2 >= 0){
+        if(knockedLeg < knockedLeg2){
+          double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg ) ), sim[NL-1]);
+          sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
+        } else {
+          sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
+        }
+      } else if(knockedLeg2 >= 0){
+        sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
+      } else if(knockedLeg >= 0) {
+        double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg ) ), sim[NL-1]);
+        sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
+      }
+
+      if(knockedLeg_dash >= 0 && knockedLeg2_dash >= 0){
+        if(knockedLeg_dash < knockedLeg2_dash){
+          double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
+          sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
+        } else {
+          sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[knockedLeg2_dash], dir_sign);
+        }
+      } else if(knockedLeg2_dash >= 0){
+        sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[knockedLeg2_dash], dir_sign);
+      } else if(knockedLeg_dash >= 0) {
+        double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
+        sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
+      }
+
       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;

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.54"
+  VERSION = "3.55"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.54'
+  version: '3.55'
 platform: ruby
 authors:
 - Vivek Routh