tarf_monte_carlo 3.45 → 3.46

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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-  data.tar.gz: 83b9cd1f3a9aecab8068ca3f95b80d47aebc3d6bb4a3eaa2fa830eabcd826fe5
+  metadata.gz: 189ce30c759cdc40444b5ffc5443e8d93680adb392be409beb2f8d6445e1f667
+  data.tar.gz: 93b441a9d9481e0595b9b029e28792d2a4bf08299b0bd0ca3396a680bb85184c
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+  data.tar.gz: a2844c3dd6b4a9591cc6bed56edc3a896e8b83b162d7db9f5546573fe8d2e1fcf1bf2338e125a80145835aebfa2f6b7c55bb8f970f5db47e0317f682e242d3fc

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -45,6 +45,7 @@
 #define FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE 14
 
 #define DATAPOINTS 200 // data for plotting
+#define BARRIER_DP 4 // data for plotting
 #define INTERVAL 50
 #define SIM_LIMIT 196 // 196 + 4 = 200 simulations nedded
 
@@ -195,8 +196,8 @@ 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 < 4; metric++ ) {
+    metrics = ( double** ) malloc( BARRIER_DP * sizeof(double*) );
+    for( metric = 0; metric < BARRIER_DP; metric++ ) {
       metrics[metric] = ( double* ) malloc( DATAPOINTS * sizeof(double) );
       for(leg = 0; leg < DATAPOINTS; leg++) {
         metrics[metric][leg] = 0.0;
@@ -631,7 +632,7 @@ 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 < 4; metric++) {
+    for(metric = 0; metric < BARRIER_DP; metric++) {
       VALUE leg_metrics = rb_ary_new();
 
       for(leg = 0; leg < DATAPOINTS; leg++) {
@@ -663,11 +664,11 @@ 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) ? 4 : DATAPOINTS; 
-  // for(metric = 0; metric < dp; metric++) {
-  //   free( metrics[metric] );
-  // }
-  // free(metrics);
+  int dp = (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE) ? BARRIER_DP : DATAPOINTS; 
+  for(metric = 0; metric < dp; metric++) {
+    free( metrics[metric] );
+  }
+  free(metrics);
 
   return final_pvs;
 }

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.45"
+  VERSION = "3.46"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.45'
+  version: '3.46'
 platform: ruby
 authors:
 - Vivek Routh