tarf_monte_carlo 3.65 → 3.70

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Files changed (4) hide show
  1. checksums.yaml +4 -4
  2. data/ext/tarf_monte_carlo/tarf_monte_carlo.c +6 -6
  3. data/lib/tarf_monte_carlo/version.rb +1 -1
  4. metadata +1 -1
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c CHANGED
@@ -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 = "3.65"
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+ VERSION = "3.70"
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  end
metadata CHANGED
@@ -1,7 +1,7 @@
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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: '3.65'
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+ version: '3.70'
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  platform: ruby
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  authors:
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  - Vivek Routh