tarf_monte_carlo 3.41 → 3.42
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- checksums.yaml +4 -4
- data/ext/tarf_monte_carlo/tarf_monte_carlo.c +22 -20
- data/lib/tarf_monte_carlo/version.rb +1 -1
- metadata +1 -1
checksums.yaml
CHANGED
@@ -1,7 +1,7 @@
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1
1
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---
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2
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SHA256:
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3
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-
metadata.gz:
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4
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data.tar.gz:
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3
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+
metadata.gz: 401dcffa11be28cb765633d86b3b3351af887311364893a4b4e98bcda42f1f2b
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4
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data.tar.gz: 8aa5d4b647a4ead25e93d8ec6d5d77f6927d767b368915c367a1557cfcd0d578
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5
5
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SHA512:
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6
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-
metadata.gz:
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7
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-
data.tar.gz:
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6
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+
metadata.gz: a955c81445337676aa5c291fed82e34fa74b37a999926158b9cd09bb5c6ae14888f483c43dcafc33b04d43f4fc3c016374f81c19ac39aa71933c6746196a0978
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7
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+
data.tar.gz: 73b9c4e40243dc65b8f711d515a1ab6196fa4c17991f12d72543cb8918b990e83844f4679e55fb28ebf3bac6857ff0e9cbdd2cf5ef55f4fdeb9dc4fa1b9135f9
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@@ -417,11 +417,11 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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417
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else{
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418
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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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419
419
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}
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420
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-
if ((
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421
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metrics[0][
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422
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metrics[1][
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423
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-
metrics[0][
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424
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-
metrics[1][
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420
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+
if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
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421
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metrics[0][point_pos] = sim[NL-1];
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422
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metrics[1][point_pos] = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
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423
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+
metrics[0][point_pos+1] = sim_dash[NL-1];
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424
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metrics[1][point_pos+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
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425
425
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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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@@ -439,11 +439,11 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
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}
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441
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-
if ((
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443
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-
metrics[0][
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444
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-
metrics[1][
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445
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-
metrics[0][
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446
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-
metrics[1][
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442
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+
if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
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metrics[0][point_pos] = (knockedLeg >= 0) ? sim[knockedLeg] : sim[NL-1];
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metrics[1][point_pos] = ( *( Xs_array + 0 ) );
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metrics[0][point_pos+1] = (knockedLeg_dash >= 0) ? sim[knockedLeg_dash] : sim[NL-1];
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metrics[1][point_pos+1] = ( *( Xs_array + 0 ) );
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}
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} else if( KType == ABSOLUTE || KType == PIVOT_ABSOLUTE || KType == COLLAR_ABSOLUTE || KType == DOUBLE_STRIKE_ABSOLUTE ) {
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@@ -572,19 +572,22 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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pvs_pos[sim_count + 1] = sim_dash_pos_sum;
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pvs_neg[sim_count] = sim_neg_sum;
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pvs_neg[sim_count + 1] = sim_dash_neg_sum;
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-
if ((
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-
metrics[2][
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577
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-
metrics[2][
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575
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+
if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
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+
metrics[2][point_pos] = sim_pos_sum;
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metrics[2][point_pos+1] = sim_dash_pos_sum;
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point_pos += 2;
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}
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//
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// increment metric storing point by 4
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// Note: no limit condition here
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//
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-
if
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-
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-
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-
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+
if (!(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE)){
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586
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if( (sim_count + 2) % INTERVAL == 0 ) {
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// rb_p(rb_str_new2("T:"));
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// rb_p(INT2NUM(point_pos));
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point_pos += 4;
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}
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}
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}
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// run simulations loop
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@@ -618,7 +621,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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618
621
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//
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// rb_p(rb_str_new2("Converting metrics"));
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VALUE final_metrics = rb_ary_new();
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-
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+
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if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
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for(metric = 0; metric < 3; metric++) {
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VALUE leg_metrics = rb_ary_new();
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@@ -652,8 +655,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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//
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// free your arrays from memory once you're done using them
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//
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655
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-
int dp = (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE) ? 3 : DATAPOINTS;
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656
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-
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658
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+
int dp = (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE) ? 3 : DATAPOINTS;
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657
659
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for(metric = 0; metric < dp; metric++) {
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free( metrics[metric] );
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}
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