tarf_monte_carlo 3.46 → 3.47

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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-  data.tar.gz: 93b441a9d9481e0595b9b029e28792d2a4bf08299b0bd0ca3396a680bb85184c
+  metadata.gz: a69379430c97fbbf86b791e49a7564c7504a21fa73f3ea44ede3ec1d3a876bc6
+  data.tar.gz: 3fcd6ef1020d223148c3279c80694c007373f933f434ee48258a62938188c130
 SHA512:
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-  data.tar.gz: a2844c3dd6b4a9591cc6bed56edc3a896e8b83b162d7db9f5546573fe8d2e1fcf1bf2338e125a80145835aebfa2f6b7c55bb8f970f5db47e0317f682e242d3fc
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -419,14 +419,11 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1], dir_sign);
       }
       if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
-        metrics[0][point_pos] = sim[NL-1];
-        metrics[1][point_pos] = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
+        metrics[0][point_pos]   = sim[NL-1];
+        metrics[1][point_pos]   = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
+        metrics[3][point_pos]   = knockedLeg;
         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){
@@ -446,10 +443,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       }
 
       if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
-        metrics[0][point_pos] = (knockedLeg >= 0) ? sim[knockedLeg] : sim[NL-1];
-        metrics[1][point_pos] = ( *( Xs_array + 0 ) );
+        metrics[0][point_pos]   = (knockedLeg >= 0) ? sim[knockedLeg] : sim[NL-1];
+        metrics[1][point_pos]   = ( *( Xs_array + 0 ) );
+        metrics[3][point_pos]   = knockedLeg;
         metrics[0][point_pos+1] = (knockedLeg_dash >= 0) ? sim[knockedLeg_dash] : sim[NL-1];
         metrics[1][point_pos+1] = ( *( Xs_array + 0 ) );
+        metrics[3][point_pos+1] = knockedLeg_dash;
       }
 
     } else if( KType == ABSOLUTE || KType == PIVOT_ABSOLUTE || KType == COLLAR_ABSOLUTE || KType == DOUBLE_STRIKE_ABSOLUTE ) {
@@ -582,8 +581,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     
     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;
+        metrics[2][point_pos]   = sim_pos_sum;
+        metrics[2][point_pos+1] = sim_dash_pos_sum;
         point_pos += 2;
       }
     }

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.46"
+  VERSION = "3.47"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.46'
+  version: '3.47'
 platform: ruby
 authors:
 - Vivek Routh