tarf_monte_carlo 3.23 → 3.24

checksums.yaml

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

@@ -114,6 +114,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   double *CFs_array   = ( double* ) malloc( NL * sizeof(double) );
   double *LSts_array  = ( double* ) malloc( NL * sizeof(double) );
   double *USts_array  = ( double* ) malloc( NL * sizeof(double) );
+  double *TempNs_array = ( double* ) malloc( NL * sizeof(double) );
 
   VALUE Ls = rb_hash_aref(MCInputs, rb_str_new2("leverage_ratios") );
   VALUE Ts = rb_hash_aref(MCInputs, rb_str_new2("expiration_times") );
@@ -135,6 +136,7 @@ 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) );
+    TempNs_array[leg] = *(Ns_array + leg);
   }
   // extra tarf structures
   if ( KType == PIVOT_POINTS || KType == PIVOT_ABSOLUTE || KType == PIVOT_LEGS )  {
@@ -211,10 +213,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         }
 
         if (ConvertNotional == 1){
-          if(Spot < *( Ps_array + leg )){
-            Ns_array[leg] = *(Ns_array + leg) / *( LSts_array + leg );
+          if(Spot < *( Ps_array + leg ) || Spot_dash < *( Ps_array + leg )){
+            Ns_array[leg] = *(TempNs_array + leg) / *( LSts_array + leg );
           } else {
-            Ns_array[leg] = *(Ns_array + leg) / *( USts_array + leg );
+            Ns_array[leg] = *(TempNs_array + leg) / *( USts_array + leg );
           }
         }
 

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.23"
+  VERSION = "3.24"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.23'
+  version: '3.24'
 platform: ruby
 authors:
 - Vivek Routh