tarf_monte_carlo 3.36 → 3.37
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- checksums.yaml +4 -4
- data/ext/tarf_monte_carlo/tarf_monte_carlo.c +7 -7
- data/lib/tarf_monte_carlo/version.rb +1 -1
- metadata +1 -1
checksums.yaml
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@@ -1,7 +1,7 @@
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---
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SHA256:
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metadata.gz:
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data.tar.gz:
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metadata.gz: 4cde374a7687b72a44d4ac3227cce1e4145a4a8079e9196003e92da327b09ca9
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data.tar.gz: '058135bcdcaec69d1f34532412061862516409723c44a7d4e83afa52e399cd5a'
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: bd79246265df4efc0d2474b69233c53a47a57e65073bc0a27ac9af8d4d5f6845b8189de8dd0f89211f26667001c0999f0a42ba7725a67eed7706bdbd4ae58272
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data.tar.gz: 5412be0cec43e5f56b4c4be725bf407c093a312f0afbc1f5debc66973f9baed47b305f32447e90b899dedf2d17e349755c6cdaba56559dfc4af5e8abb34ffd7b
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@@ -58,7 +58,7 @@ VALUE cTarfMonteCarlo = Qnil;
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void Init_tarf_monte_carlo();
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double european_payoff(double, double, int, int, double);
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double get_equivalent_notional(int, double, float);
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double get_equivalent_rebate(int, double, float);
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double get_equivalent_rebate(int, double, float, int);
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// Prototype for our methods - methods are prefixed by 'method_' here
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VALUE method_box_muller( VALUE );
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@@ -93,9 +93,9 @@ double get_equivalent_notional(int conversion_sign, double notional, float rate)
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return (conversion_sign == 1) ? (notional / rate) : notional;
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}
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double get_equivalent_rebate(int conversion_sign, double rebate, float rate){
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double get_equivalent_rebate(int conversion_sign, double rebate, float rate, int dir_sign){
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double total = (conversion_sign == 1) ? (rebate * rate) : rebate;
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return (-1 * total);
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return (-1 * dir_sign * total);
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}
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// main method for running monte carlo simulation from sidekiq worker/outside method
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@@ -395,25 +395,25 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
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}
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else{
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sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1]);
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sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1], dir_sign);
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}
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if(knockedLeg_dash >= 0 ){
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double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
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sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
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}
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else{
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sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1]);
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sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1], dir_sign);
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}
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} else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
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if(knockedLeg >= 0){
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sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg]);
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sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg], dir_sign);
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}
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else{
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double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim[NL-1]);
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sim_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
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}
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if(knockedLeg_dash >= 0 ){
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sim_dash_pos[knockedLeg_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg_dash ) ), sim[knockedLeg_dash]);
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sim_dash_pos[knockedLeg_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg_dash ) ), sim[knockedLeg_dash], dir_sign);
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}
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else{
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double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim_dash[NL-1]);
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