tarf_monte_carlo 3.28 → 3.29

checksums.yaml

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

@@ -90,11 +90,11 @@ double european_payoff(double strike, double spot, int cp_sign, int dir_sign, do
 }
 
 double get_equivalent_notional(int conversion_sign, double notional, float rate){
-  return (conversion_sign == 1) ? (notional / rate) : notional
+  return (conversion_sign == 1) ? (notional / rate) : notional;
 }
 
 double get_equivalent_rebate(int conversion_sign, double rebate, float rate){
-  return (conversion_sign == 1) ? (rebate * rate) : rebate
+  return (conversion_sign == 1) ? (rebate * rate) : rebate;
 }
 
 // main method for running monte carlo simulation from sidekiq worker/outside method
@@ -122,6 +122,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   int dir_sign          = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("direction_sign")) );
   int dir2_sign         = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("direction2_sign")) );
   int cp_sign           = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("callput_sign")) );
+  int conversion_sign        = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("conversion_sign")) );
+  int rebate_conversion_sign = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("rebate_conversion_sign")) );
 
   // assign leg specific attributes
   double *pvs_pos     = ( double* ) malloc( SCount * sizeof(double) );
@@ -392,25 +394,25 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
       else{
-        sim_pos[NL-1] = get_equivalent_rebate(conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1]);
+        sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1]);
       }
       if(knockedLeg_dash >= 0 ){
         double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
         sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
       else{
-        sim_dash_pos[NL-1] = get_equivalent_rebate(conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1]);
+        sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1]);
       }
     } else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
       if(knockedLeg >= 0){
-        sim_pos[knockedLeg] = get_equivalent_rebate(conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg]);
+        sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg]);
       }
       else{
         double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim[NL-1]);
         sim_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
       if(knockedLeg_dash >= 0 ){
-        sim_dash_pos[knockedLeg_dash] = get_equivalent_rebate(conversion_sign, ( *( Rebate_array + knockedLeg_dash ) ), sim[knockedLeg_dash]);
+        sim_dash_pos[knockedLeg_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg_dash ) ), sim[knockedLeg_dash]);
       }
       else{
         double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim_dash[NL-1]);

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.28"
+  VERSION = "3.29"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.28'
+  version: '3.29'
 platform: ruby
 authors:
 - Vivek Routh