tarf_monte_carlo 3.16 → 3.17

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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-  data.tar.gz: 0fb60c7a494442af9621f8d686e161718381e3e4c88b2862c9af2b27de5267f8
+  metadata.gz: dfddf29d3a8c0d3029234c9acba98d0579c2cd035395594b730b74dadd9353ff
+  data.tar.gz: ee157914ed8faedc35096514802b25bd89eebdb6485300ad9e6762563ee65a1f
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -98,6 +98,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   int KType             = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("knockout_type")) );
   double S              = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("spot_rate")) );
   int Ko_compare_mult   = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("multiplier")) );
+  int convertNotional   = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("convert_notional")) );
 
   // assign leg specific attributes
   double *pvs_pos     = ( double* ) malloc( SCount * sizeof(double) );
@@ -208,6 +209,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         } else {
           profit_loss = (*( USts_array + leg )) - Spot;
         }
+
+        if (ConvertNotional == 1){
+          if(Spot < *( Ps_array + leg )){
+            Ns_array[leg] = *(Ns_array + leg) / *( LSts_array + leg );
+          } else {
+            Ns_array[leg] = *(Ns_array + leg) / *( USts_array + leg );
+          }
+        }
         // dash
         if ( Spot_dash < *( LSts_array + leg ) ) {
           profit_loss_dash = Spot_dash - (*( LSts_array + leg ));

data/lib/tarf_monte_carlo/version.rb

@@ -1,7 +1,7 @@
 # gem build tarf_monte_carlo.gemspec
-# gem push -v tarf_monte_carlo-3.15.3.gem
+# gem push -v tarf_monte_carlo-3.17.gem
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.16"
+  VERSION = "3.17"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.16'
+  version: '3.17'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-09-17 00:00:00.000000000 Z
+date: 2020-09-24 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler