tarf_monte_carlo 3.46 → 3.47
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 +9 -10
- data/lib/tarf_monte_carlo/version.rb +1 -1
- metadata +1 -1
checksums.yaml
CHANGED
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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: a69379430c97fbbf86b791e49a7564c7504a21fa73f3ea44ede3ec1d3a876bc6
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4
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data.tar.gz: 3fcd6ef1020d223148c3279c80694c007373f933f434ee48258a62938188c130
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: 55528c53ec418a966b6e8e405ba177038e097993ac5a532bb99c4bfbc8d32048eea25ca8893749207c0ccb6e950ff0fdff6a573e99ccd71a5d627e40b3204a87
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7
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data.tar.gz: fd79143e72702699469613433aeffcc7fe75fa001c69a6f759582bb72059ba8847862eea11357dc365d73acf06e34a0362d3e09518ac08a865cc0480da13e3ed
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@@ -419,14 +419,11 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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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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if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
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metrics[0][point_pos]
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metrics[1][point_pos]
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metrics[0][point_pos] = sim[NL-1];
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metrics[1][point_pos] = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
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metrics[3][point_pos] = knockedLeg;
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metrics[0][point_pos+1] = sim_dash[NL-1];
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metrics[1][point_pos+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
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metrics[2][point_pos] = sim_pos[NL-1];
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metrics[2][point_pos+1] = sim_dash_pos[NL-1];
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metrics[3][point_pos] = knockedLeg;
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metrics[3][point_pos+1] = knockedLeg_dash;
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}
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} else if(KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
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@@ -446,10 +443,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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}
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if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
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metrics[0][point_pos]
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metrics[1][point_pos]
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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[3][point_pos] = knockedLeg;
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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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metrics[3][point_pos+1] = knockedLeg_dash;
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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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@@ -582,8 +581,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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if (KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE){
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if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
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-
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-
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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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