tarf_monte_carlo 3.65 → 3.66
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- checksums.yaml +4 -4
- data/ext/tarf_monte_carlo/tarf_monte_carlo.c +13 -0
- data/lib/tarf_monte_carlo/version.rb +1 -1
- metadata +1 -1
checksums.yaml
CHANGED
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@@ -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: 1398b6cb4be3ea51154d3da07ab8db53b46e32ea5340688de66f25583834141d
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data.tar.gz: 73320e683ceb04104c1cc1803a3b753b104ddd7c150314f86c2408abf77558b2
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: 4af0d39d2b3e43b47060886282badc77ac70aa03bd4f9573e3cca13b45a245ecb14d99c34ced0b7d4a36b6d11384ea048a78a37e029267a6f482419a643b0dfa
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data.tar.gz: 0b2952a5b59c8c56a5d3b570f540c508572384f000ff82b887a7fd5d254445a726e458c1b33b3836a7949682225a11d1d57219314d3bc43fbe19d696244d6619
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@@ -212,6 +212,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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// first create a 1-D array of pointers, and then, for each array entry, create another 1-D array.
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//
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double **metrics;
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double pffm[SCount];
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if (barrier_variations(KType)){
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metrics = ( double** ) malloc( BARRIER_DP * sizeof(double*) );
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for( metric = 0; metric < BARRIER_DP; metric++ ) {
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@@ -235,6 +236,9 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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// run simulations loop
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for( sim_count = 0; sim_count < SCount; sim_count += 2 ) {
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// initial spot rate for each iteration would be current spot rate
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pffm[sim_count] = 0;
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pffm[sim_count+1] = 0;
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double Spot = S, Spot_dash = S;
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double sim[NL], sim_pos[NL], sim_neg[NL], sim_dash[NL], sim_dash_pos[NL], sim_dash_neg[NL];
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@@ -581,9 +585,11 @@ 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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pffm[sim_count] = knockedLeg2;
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sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
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}
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} else if(knockedLeg2 >= 0){
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pffm[sim_count] = knockedLeg2;
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sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), 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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@@ -839,12 +845,19 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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}
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}
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VALUE pffm_metrics = rb_ary_new();
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for(metric = 0; metric < SCount; metric++) {
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rb_ary_push(pffm_metrics, DBL2NUM(pffm[metric]));
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}
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// rb_p(rb_str_new2("Generating output hash"));
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VALUE final_pvs = rb_hash_new();
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rb_hash_aset(final_pvs, rb_str_new2("positive_pv"), DBL2NUM( pvs_pos_sum / SCount ));
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rb_hash_aset(final_pvs, rb_str_new2("negative_pv"), DBL2NUM( pvs_neg_sum / SCount ));
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rb_hash_aset(final_pvs, rb_str_new2("total_pv"), DBL2NUM( (pvs_neg_sum + pvs_pos_sum) / SCount ));
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rb_hash_aset(final_pvs, rb_str_new2("metrics"), final_metrics);
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rb_hash_aset(final_pvs, rb_str_new2("testing"), pffm_metrics);
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//
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// free your arrays from memory once you're done using them
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