tarf_monte_carlo 3.63 → 3.68

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Files changed (4) hide show
  1. checksums.yaml +4 -4
  2. data/ext/tarf_monte_carlo/tarf_monte_carlo.c +14 -14
  3. data/lib/tarf_monte_carlo/version.rb +1 -1
  4. metadata +2 -2
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c CHANGED
@@ -283,14 +283,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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  profit_loss_dash = Spot_dash;
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  // Both Until KI & Exp
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- if ( ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign < 0) && ((*(Barrier2_array + leg) - *(Xs_array + leg)) * cp_sign > 0) ){
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+ if ( (((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign) <= 0) && (((*(Barrier2_array + leg) - *(Xs_array + leg)) * cp_sign) >= 0) ){
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  if ((knockedLeg == -1) && ((*(Barrier_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg = leg; }
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  if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg2 = leg; }
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  if ((knockedLeg_dash == -1) && ((*(Barrier_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg_dash = leg; }
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  if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg2_dash = leg; }
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  }
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- else if( ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign > 0) && ((*(Barrier2_array + leg) - *(Xs_array + leg)) * cp_sign < 0) ){
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+ else if( (((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign) >= 0) && (((*(Barrier2_array + leg) - *(Xs_array + leg)) * cp_sign) <= 0) ){
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  if ((knockedLeg == -1) && ((*(Barrier_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg = leg; }
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  if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg2 = leg; }
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@@ -298,20 +298,20 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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  if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg2_dash = leg; }
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  }
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  // Only Until Exp
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- else if( (KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP) && ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign > 0) && ((*(Barrier2_array + leg) - *(Barrier_array + leg)) * cp_sign > 0) ){
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+ else if( (KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP) && (((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign) >= 0) && (((*(Barrier2_array + leg) - *(Barrier_array + leg)) * cp_sign) >= 0) ){
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  if ((knockedLeg == -1) && ((*(Barrier_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg = leg; }
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- if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg2 = leg; }
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+ if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg2 = leg; }
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  if ((knockedLeg_dash == -1) && ((*(Barrier_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg_dash = leg; }
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- if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg2_dash = leg; }
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+ if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg2_dash = leg; }
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  }
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- else if( (KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP) && ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign < 0) && ((*(Barrier2_array + leg) - *(Barrier_array + leg)) * cp_sign < 0) ){
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+ else if( (KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP) && (((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign) <= 0) && (((*(Barrier2_array + leg) - *(Barrier_array + leg)) * cp_sign) <= 0) ){
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  if ((knockedLeg == -1) && ((*(Barrier_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg = leg; }
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- if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg2 = leg; }
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+ if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg2 = leg; }
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  if ((knockedLeg_dash == -1) && ((*(Barrier_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg_dash = leg; }
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- if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg2_dash = leg; }
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+ if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg2_dash = leg; }
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  }
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  } else if(KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT){
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  profit_loss = Spot;
@@ -555,13 +555,13 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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  }
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  } else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP){
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  if(knockedLeg2 >= 0){
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- sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1], dir_sign);
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+ sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2 ) ), sim[NL-1], dir_sign);
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  } else if(knockedLeg >= 0) {
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  double equivalent_notional = *( Ns_array + knockedLeg );
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  sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
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  }
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  if(knockedLeg2_dash >= 0){
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- sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1], dir_sign);
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+ sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2 ) ), sim_dash[NL-1], dir_sign);
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  } else if(knockedLeg_dash >= 0) {
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  double equivalent_notional = *( Ns_array + knockedLeg_dash );
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  sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
@@ -581,10 +581,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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  double equivalent_notional = *( Ns_array + knockedLeg );
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  sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
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  } else {
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- sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
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+ sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2 ) ), sim[knockedLeg2], dir_sign);
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  }
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  } else if(knockedLeg2 >= 0){
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- sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
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+ sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2 ) ), sim[knockedLeg2], dir_sign);
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  } else if(knockedLeg >= 0) {
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  double equivalent_notional = *( Ns_array + knockedLeg );
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  sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
@@ -595,10 +595,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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  double equivalent_notional = *( Ns_array + knockedLeg_dash );
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  sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
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  } else {
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- sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[knockedLeg2_dash], dir_sign);
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+ sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2_dash ) ), sim_dash[knockedLeg2_dash], dir_sign);
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  }
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  } else if(knockedLeg2_dash >= 0){
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- sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[knockedLeg2_dash], dir_sign);
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+ sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2_dash ) ), sim_dash[knockedLeg2_dash], dir_sign);
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  } else if(knockedLeg_dash >= 0) {
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  double equivalent_notional = *( Ns_array + knockedLeg_dash );
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  sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
data/lib/tarf_monte_carlo/version.rb CHANGED
@@ -3,5 +3,5 @@
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  # gem yank tarf_monte_carlo -v 2.3
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  module TarfMonteCarlo
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- VERSION = "3.63"
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+ VERSION = "3.68"
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  end
metadata CHANGED
@@ -1,14 +1,14 @@
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  --- !ruby/object:Gem::Specification
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  name: tarf_monte_carlo
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  version: !ruby/object:Gem::Version
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- version: '3.63'
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+ version: '3.68'
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  platform: ruby
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  authors:
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  - Vivek Routh
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  autorequire:
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  bindir: exe
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  cert_chain: []
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- date: 2020-10-14 00:00:00.000000000 Z
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+ date: 2020-10-15 00:00:00.000000000 Z
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  dependencies:
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  - !ruby/object:Gem::Dependency
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  name: bundler