tarf_monte_carlo 3.30 → 3.31

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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-  data.tar.gz: 3f75df6387fceb8687b66946c5f3db6bfda2a0a6fce474ce49396a5012c6e838
+  metadata.gz: 1ffba748a882648f94602365c6fe89ba13ad4012e4daa54ce87e836c757c2df7
+  data.tar.gz: 56cf966863ed9d42802d78634b411aef7039eab87a74420d33a3dc429e5c1fa5
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -193,6 +193,7 @@ 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 **metrics;
+  double data[4][NL];
   metrics = ( double** ) malloc( DATAPOINTS * sizeof(double*) );
   for( metric = 0; metric < DATAPOINTS; metric++ ) {
     metrics[metric] = ( double* ) malloc( NL * sizeof(double) );
@@ -216,6 +217,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       sim_dash[leg] = 0.0;
       sim_dash_pos[leg] = 0.0;
       sim_dash_neg[leg] = 0.0;
+      data[0][leg] = 0.0;
+      data[1][leg] = 0.0;
+      data[2][leg] = 0.0;
+      data[3][leg] = 0.0;
     }
 
     int knockedLeg = -1;
@@ -369,6 +374,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       sim[leg] = profit_loss;
       sim_dash[leg] = profit_loss_dash;
 
+      data[0][leg] = sim[leg];
+      data[1][leg] = sim_dash[leg];
       //
       // Store spot and spot dash
       //
@@ -385,6 +392,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         Spot_dash = S;
       }
     }
+
     // legs loop end
     // start from the Knock value
     double ko_so_far = K, ko_so_far_dash = K;
@@ -403,6 +411,9 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       else{
         sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1]);
       }
+
+      data[2][NL-1] = sim_pos[NL-1];
+      data[3][NL-1] = sim_dash_pos[NL-1];
     } else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
       if(knockedLeg >= 0){
         sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg]);
@@ -584,11 +595,11 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   //
   // rb_p(rb_str_new2("Converting metrics"));
   VALUE final_metrics = rb_ary_new();
-  for(metric = 0; metric < DATAPOINTS; metric++) {
+  for(metric = 0; metric < 5; metric++) {
     VALUE leg_metrics = rb_ary_new();
 
     for(leg = 0; leg < NL; leg++) {
-      rb_ary_push( leg_metrics, DBL2NUM( metrics[metric][leg] ) );
+      rb_ary_push( leg_metrics, DBL2NUM( data[metric][leg] ) );
     }
 
     rb_ary_push(final_metrics, leg_metrics);

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.30"
+  VERSION = "3.31"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.30'
+  version: '3.31'
 platform: ruby
 authors:
 - Vivek Routh