tarf_monte_carlo 3.34 → 3.35

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
-  metadata.gz: 6ba6dd94cb23ba87cba4dfe1247ff41902d8644efacbbbf1b712ea7d61cc8341
-  data.tar.gz: da934c46905408ad6bc80694e4b2644535078437fd347c8f986aa9eb71c777b0
+  metadata.gz: d99188553bdf78de85d726474f7397e49f3195ef802cedf1800dd8a462b50584
+  data.tar.gz: 6e0bb8b0ef4078cfc547def074f4fb6ac04ee6ea7a89db777f6158367552d659
 SHA512:
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-  data.tar.gz: b016ab0298d3041ab725d37a3a7aa74be2f8fbe33d510c2f6ef1dd55298d1d1209694234a227b028ed01d50009c112a15ebeaf5a07b2edce43e3e098bc01e23f
+  metadata.gz: d302c75c2917d824ff3938fdd996594062dd50fd6a6814f98b7955de32f7cb53f35ae928578b56e705c54579a107b7757e9650c595cf0b515566dcd2361d2eed
+  data.tar.gz: e98d7a04f2b99fc9b77cf19f5e0417316505142b67965810c7bcb41d95e12ca8fe7f4e3ff474b3e6f0029251bf4056a7c9cc5a5520c8f4b08fa76dc556ce7b3a

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -90,13 +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){
-  double eq = (conversion_sign == 1) ? (notional / rate) : notional;
-  return eq;
+  return (conversion_sign == 1) ? (notional / rate) : notional;
 }
 
 double get_equivalent_rebate(int conversion_sign, double rebate, float rate){
-  double eq = (conversion_sign == 1) ? (rebate * rate) : rebate;
-  return eq;
+  return (conversion_sign == 1) ? (rebate * rate) : rebate;
 }
 
 // main method for running monte carlo simulation from sidekiq worker/outside method
@@ -195,7 +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[SCount];
   metrics = ( double** ) malloc( DATAPOINTS * sizeof(double*) );
   for( metric = 0; metric < DATAPOINTS; metric++ ) {
     metrics[metric] = ( double* ) malloc( NL * sizeof(double) );
@@ -208,9 +205,6 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   // run simulations loop
   for( sim_count = 0; sim_count < SCount; sim_count += 2 ) {
     // initial spot rate for each iteration would be current spot rate
-    data[sim_count] = 0;
-    data[sim_count + 1] = 0;
-
     double Spot = S, Spot_dash = S;
     double sim[NL], sim_pos[NL], sim_neg[NL], sim_dash[NL], sim_dash_pos[NL], sim_dash_neg[NL];
 
@@ -397,7 +391,6 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE){
       if(knockedLeg >= 0){
         double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg ) ), sim[NL-1]);
-        data[sim_count] = equivalent_notional;
         sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
       else{
@@ -405,7 +398,6 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       }
       if(knockedLeg_dash >= 0 ){
         double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
-        data[sim_count + 1] = equivalent_notional;
         sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
       else{
@@ -592,14 +584,14 @@ 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 < SCount; metric++) {
-    // VALUE leg_metrics = rb_ary_new();
+  for(metric = 0; metric < DATAPOINTS; metric++) {
+    VALUE leg_metrics = rb_ary_new();
 
-    // for(leg = 0; leg < NL; leg++) {
-    //   rb_ary_push( leg_metrics, DBL2NUM( metrics[metric][leg] ) );
-    // }
+    for(leg = 0; leg < NL; leg++) {
+      rb_ary_push( leg_metrics, DBL2NUM( metrics[metric][leg] ) );
+    }
 
-    rb_ary_push(final_metrics, data[metric]);
+    rb_ary_push(final_metrics, leg_metrics);
   }
 
   // rb_p(rb_str_new2("Generating output hash"));

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.34"
+  VERSION = "3.35"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.34'
+  version: '3.35'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-10-05 00:00:00.000000000 Z
+date: 2020-10-06 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler