tarf_monte_carlo 3.64 → 3.65
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- checksums.yaml +4 -4
- data/ext/tarf_monte_carlo/tarf_monte_carlo.c +4 -4
- data/lib/tarf_monte_carlo/version.rb +1 -1
- metadata +2 -2
checksums.yaml
CHANGED
@@ -1,7 +1,7 @@
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---
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SHA256:
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-
metadata.gz:
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data.tar.gz:
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metadata.gz: 707623dec4f74afcf22546eb4e00d1eac103b8f09f9b876b485496f8ee720588
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4
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data.tar.gz: f882ae037b74ec0823880a030d71d59f617f8b93ffaaa6d3630078c73e9ceb9e
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: b11a35791403e6999b76ed1a2501d252a3960ccce81fb918119d87453859e15dd1462d2aaa459bba213ec164bf7b0e518d4ed56d93a5823398351722ece66f06
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data.tar.gz: e5ae1f9e36514c594aa5b29bced3861a17d7f66951f8c8ba0ae20dfd93ff7c00e5f45b0faff6ed86fcb8d6d5324788072078f866986ce2dc1405e74f63c457cd
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@@ -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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286
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-
if ( ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign
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286
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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
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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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@@ -298,7 +298,7 @@ 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
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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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@@ -306,7 +306,7 @@ 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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-
else if( (KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP) && ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign
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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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metadata
CHANGED
@@ -1,14 +1,14 @@
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1
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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.
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+
version: '3.65'
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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-
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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
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