tarf_monte_carlo 3.12 → 3.13

checksums.yaml

@@ -1,7 +1,7 @@
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -124,11 +124,18 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     vs_array[leg] = NUM2DBL( rb_ary_entry(vs, leg) );
     bs_array[leg] = NUM2DBL( rb_ary_entry(bs, leg) );
     DFs_array[leg] = NUM2DBL( rb_ary_entry(DFs, leg) );
-    if (KType == PIVOT_POINTS) {
+  }
+  // extra tarf structures
+  if ( KType == PIVOT_POINTS )  {
+    for (leg = 0; leg < NL; ++leg) {
       Ps_array[leg] = NUM2DBL( rb_ary_entry(Ps, leg) );
-    } else if (KType == COLLAR_POINTS){
+    }
+  } else if ( KType == COLLAR_POINTS ) {
+    for (leg = 0; leg < NL; ++leg) {
       CFs_array[leg] = NUM2DBL( rb_ary_entry(CFs, leg) );
-    } else if (KType == DUAL_STRIKE_POINTS){
+    }
+  } else if ( KType == DUAL_STRIKE_POINTS ) {
+    for (leg = 0; leg < NL; ++leg) {
       LSts_array[leg] = NUM2DBL( rb_ary_entry(LSts, leg) );
       USts_array[leg] = NUM2DBL( rb_ary_entry(USts, leg) );
     }
@@ -186,20 +193,16 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         profit_loss_dash = ( Spot_dash - ( *( Xs_array + leg ) ) );
       } else if ( BS == SELL ) {
         if ( KType == PIVOT_POINTS ) {
-          if ( Spot <= *( Xs_array + leg ) && Spot < *( Ps_array + leg ) ) {
-            profit_loss = *( Xs_array + leg ) - Spot;
-          } else if ( Spot > *( Xs_array + leg ) && Spot >= *( Ps_array + leg ) ) {
-            profit_loss = *( Xs_array + leg ) - Spot;
-          } else {
+          if ( *( Xs_array + leg ) < Spot && Spot < *( Ps_array + leg ) ) {
             profit_loss = 0.0;
+          } else {
+            profit_loss = ( ( *( Xs_array + leg ) ) - Spot );
           }
           // dash
-          if ( Spot_dash <= *( Xs_array + leg ) && Spot_dash < *( Ps_array + leg ) ) {
-            profit_loss_dash = *( Xs_array + leg ) - Spot_dash;
-          } else if ( Spot_dash > *( Xs_array + leg ) && Spot_dash >= *( Ps_array + leg ) ) {
-            profit_loss_dash = *( Xs_array + leg ) - Spot_dash;
-          } else {
+          if ( *( Xs_array + leg ) < Spot_dash && Spot_dash < *( Ps_array + leg ) ) {
             profit_loss_dash = 0.0;
+          } else {
+            profit_loss_dash = ( ( *( Xs_array + leg ) ) - Spot_dash );
           }
         } else {
           // profit if spot is lower than market price
@@ -229,7 +232,6 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       }
     }
     // legs loop end
-
     // start from the Knock value
     double ko_so_far = K, ko_so_far_dash = K;
     if( KType == ABSOLUTE ) {
@@ -272,7 +274,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           }
         }
       }
-    } else if( KType == POINTS ) {
+    } else if( KType == POINTS || KType == PIVOT_POINTS || KType == COLLAR_POINTS || KType == DUAL_STRIKE_POINTS ) {
       for( leg = 0; leg < NL; ++leg ) {
         // simulation normal
         if ( ko_so_far > 0.0 ) {

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.12"
+  VERSION = "3.13"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.12'
+  version: '3.13'
 platform: ruby
 authors:
 - Vivek Routh