tarf_monte_carlo 3.68 → 3.69

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
-  metadata.gz: 2fa64303581fdfd8f57be13e97367ccd9c07d64bc7e4eeac8cdaa432d9c7dd71
-  data.tar.gz: 4b6851b1a03af9c991ad0b9d5396c78c81c88ab94c776191fe856d87699c8a1e
+  metadata.gz: a09821b8f49b2435d5faac86b35b58e9514de07dcf70200c99d9fe8c2a496cd1
+  data.tar.gz: 6f19dd72e7a81ba7ed41f8e40e29a57965acf4e4b5ee78cb1fb2f931d5ae3270
 SHA512:
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-  data.tar.gz: 21318d9c0767bd83ba36ecab123b3189bef337b95c74726beb0e2c99ccc47cd8a356bbde7e14375dc102794dc79ba570b0034fb19c9a2800cc0bc84ac59eff92
+  metadata.gz: 3fb2c088e7cd659ebae7db0b3dadb0ddac9e58661ca70383df086ff550f1e7387f384c29f66f216d13b9e0b6f073770521db72815544ac1aa401ac84476a8b93
+  data.tar.gz: c686b6a2e6a347ffcb62a293f7b1b39beafae1755b31ab4d9a540b1b8f0b9ce16a3b0ae00ec43447214b4247229d58ea15ae996ee5467205432be179f9fccdb9

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -211,6 +211,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   //
   // first create a 1-D array of pointers, and then, for each array entry, create another 1-D array.
   //
+  double testing[SCount];
   double **metrics;
   if (barrier_variations(KType)){
     metrics = ( double** ) malloc( BARRIER_DP * sizeof(double*) );
@@ -234,6 +235,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
 
   // run simulations loop
   for( sim_count = 0; sim_count < SCount; sim_count += 2 ) {
+    
+    testing[sim_count]    = -1;
+    testing[sim_count+1]  = -1;
+
     // initial spot rate for each iteration would be current spot rate
     double Spot = S, Spot_dash = S;
     double sim[NL], sim_pos[NL], sim_neg[NL], sim_dash[NL], sim_dash_pos[NL], sim_dash_neg[NL];
@@ -576,6 +581,9 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         metrics[3][point_pos+1] = knockedLeg_dash;
       }
     } else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI){
+      testing[sim_count] = knockedLeg2;
+      testing[sim_count + 1] = knockedLeg2_dash;
+
       if(knockedLeg >= 0 && knockedLeg2 >= 0){
         if(knockedLeg < knockedLeg2){
           double equivalent_notional = *( Ns_array + knockedLeg );
@@ -839,12 +847,18 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     }
   }
 
+  VALUE testing_data = rb_ary_new();
+  for(metric = 0; metric < SCount; metric++) {
+    rb_ary_push(testing_data, DBL2NUM(testing[metric]));
+  }
+
   // rb_p(rb_str_new2("Generating output hash"));
   VALUE final_pvs = rb_hash_new();
   rb_hash_aset(final_pvs, rb_str_new2("positive_pv"), DBL2NUM( pvs_pos_sum / SCount ));
   rb_hash_aset(final_pvs, rb_str_new2("negative_pv"), DBL2NUM( pvs_neg_sum / SCount ));
   rb_hash_aset(final_pvs, rb_str_new2("total_pv"), DBL2NUM( (pvs_neg_sum + pvs_pos_sum) / SCount ));
   rb_hash_aset(final_pvs, rb_str_new2("metrics"), final_metrics);
+  rb_hash_aset(final_pvs, rb_str_new2("testing"), testing_data);
 
   //
   // free your arrays from memory once you're done using them

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.68"
+  VERSION = "3.69"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.68'
+  version: '3.69'
 platform: ruby
 authors:
 - Vivek Routh