tarf_monte_carlo 3.31 → 3.32

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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-  data.tar.gz: 56cf966863ed9d42802d78634b411aef7039eab87a74420d33a3dc429e5c1fa5
+  metadata.gz: 2fd5c07e07e1a0fa016c6f8137c1e2b964f031b7210dca898e4d1006c0781ff4
+  data.tar.gz: 95210edd7247efc5785fec37c5c13cbe64f86a7509570382f19234174a021e4c
 SHA512:
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+  data.tar.gz: a954cdf5255f86459bae5c6c171b9232dfce4ec4fa13e1f1ef8d5ebfe18beac0defbcbb3ba6d33fbe05af28c889b28031139b60d5e2cac1fd4a468099c387d77

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -193,7 +193,6 @@ 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) );
@@ -217,10 +216,6 @@ 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;
@@ -374,8 +369,6 @@ 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
       //
@@ -392,7 +385,6 @@ 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;
@@ -411,9 +403,6 @@ 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]);
@@ -595,11 +584,11 @@ 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 < 5; metric++) {
+  for(metric = 0; metric < DATAPOINTS; metric++) {
     VALUE leg_metrics = rb_ary_new();
 
     for(leg = 0; leg < NL; leg++) {
-      rb_ary_push( leg_metrics, DBL2NUM( data[metric][leg] ) );
+      rb_ary_push( leg_metrics, DBL2NUM( metrics[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 = "3.31"
+  VERSION = "3.32"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.31'
+  version: '3.32'
 platform: ruby
 authors:
 - Vivek Routh