tarf_monte_carlo 3.43 → 3.44

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
-  metadata.gz: 88cc80746dba47969e5cdc166b6510be889fd4c090ec1415cfdc066f47e32ebc
-  data.tar.gz: 4c7ab741260ab16d84a21659176211a466585d61be1c5adbdda62503173afa95
+  metadata.gz: 3983fc474126c8a34f0fce99d3f127b0057f5bf92e35949278a7018bc4c6eba0
+  data.tar.gz: 3071b3646c65f592b9b2dfa75a8cfee0dac798b20a4b6d9d21db8758068c2191
 SHA512:
-  metadata.gz: 421f79a3b144d3066b04576f79b2041b24d3643322c76c4a06cca0be951069cff5e8d999cc3eaa6e2dcf62b81a321c7c8c5018aeefb1b3269d86d751d39251c7
-  data.tar.gz: 35b4d0df1af4fa5ca3ab88617c9516543a1c6127bf49287f21f19d00c1afa8bc13489fdb67bf808bcd8ac8d1348544a75fe3132f90f5f1d7979cdb7beae47a00
+  metadata.gz: a457cd81fbd653af84c587af0de58495646567a9e9e0616f95226592db687e6122c109c62559867f4589bd81ae2a3bada9f79768f6ee9d1c418230868c5579bc
+  data.tar.gz: eada7cec1fa54069644d41817988789080d127fe003918e5a7fd9d40f24b9001bece1c9090dd0defd006a168716158c731f9e47fc00b2cedc31f92c26cf68522

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -196,7 +196,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   double **metrics;
   if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
     metrics = ( double** ) malloc( 3 * sizeof(double*) );
-    for( metric = 0; metric < 3; metric++ ) {
+    for( metric = 0; metric < 4; metric++ ) {
       metrics[metric] = ( double* ) malloc( DATAPOINTS * sizeof(double) );
       for(leg = 0; leg < DATAPOINTS; leg++) {
         metrics[metric][leg] = 0.0;
@@ -422,6 +422,11 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         metrics[1][point_pos] = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
         metrics[0][point_pos+1] = sim_dash[NL-1];
         metrics[1][point_pos+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
+
+        metrics[2][point_pos]   = sim_pos[NL-1];
+        metrics[2][point_pos+1] = sim_dash_pos[NL-1];
+        metrics[3][point_pos] = knockedLeg;
+        metrics[3][point_pos+1] = knockedLeg_dash;
       }
     } else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
       if(knockedLeg >= 0){
@@ -572,17 +577,20 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     pvs_pos[sim_count + 1]  = sim_dash_pos_sum;
     pvs_neg[sim_count]      = sim_neg_sum;
     pvs_neg[sim_count + 1]  = sim_dash_neg_sum;
-    if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
-      metrics[2][point_pos]   = sim_pos_sum;
-      metrics[2][point_pos+1] = sim_dash_pos_sum;
-      point_pos += 2;
-    }
 
-    //
-    // increment metric storing point by 4
-    // Note: no limit condition here
-    //
-    if (!(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE)){
+    
+    if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
+      if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
+        // metrics[2][point_pos]   = sim_pos_sum;
+        // metrics[2][point_pos+1] = sim_dash_pos_sum;
+        point_pos += 2;
+      }
+    }
+    else{
+      //
+      // increment metric storing point by 4
+      // Note: no limit condition here
+      //
       if( (sim_count + 2) % INTERVAL == 0 ) {
         // rb_p(rb_str_new2("T:"));
         // rb_p(INT2NUM(point_pos));
@@ -623,7 +631,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   VALUE final_metrics = rb_ary_new();
   
   if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
-    for(metric = 0; metric < 3; metric++) {
+    for(metric = 0; metric < 4; metric++) {
       VALUE leg_metrics = rb_ary_new();
 
       for(leg = 0; leg < DATAPOINTS; leg++) {
@@ -655,7 +663,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   //
   // free your arrays from memory once you're done using them
   //
-  int dp = (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE) ? 3 : DATAPOINTS; 
+  int dp = (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE) ? 4 : DATAPOINTS; 
   for(metric = 0; metric < dp; metric++) {
     free( metrics[metric] );
   }

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.43"
+  VERSION = "3.44"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.43'
+  version: '3.44'
 platform: ruby
 authors:
 - Vivek Routh