tarf_monte_carlo 3.47 → 3.49

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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-  data.tar.gz: 3fcd6ef1020d223148c3279c80694c007373f933f434ee48258a62938188c130
+  metadata.gz: 92ba4ec2f8c25a6704d3e7388a8a3e243ff51693b8ea1966d57b67b42d09514f
+  data.tar.gz: f80d07fdca106e815b442561331e1cfce8a7772e5e8b9bfb830cf6b043432fcd
 SHA512:
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-  data.tar.gz: fd79143e72702699469613433aeffcc7fe75fa001c69a6f759582bb72059ba8847862eea11357dc365d73acf06e34a0362d3e09518ac08a865cc0480da13e3ed
+  metadata.gz: 944741bc4e48a44ecd97d09e36a316bb2eba4b78a6d2bbd2e645699b5e595008e443f88e78e841844ef6765af80b45a9a47144978e8628048699787a8859ee9b
+  data.tar.gz: a03e00f6749dcdc4358370b1d49056032b9d97ff4293208633045dddeb970fea0b9be734037383734a117f13dce003d5fa851e734a6b725cd72f4908a47b6e9f

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -43,6 +43,8 @@
 
 #define FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE 13
 #define FX_AMERICAN_BARRIER_KNOCKOUT_DISCRETE 14
+#define FX_AMERICAN_BARRIER_WINDOW_KNOCKIN 15
+#define FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT 16
 
 #define DATAPOINTS 200 // data for plotting
 #define BARRIER_DP 4 // data for plotting
@@ -143,6 +145,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   double *USts_array  = ( double* ) malloc( NL * sizeof(double) );
   double *TempNs_array = ( double* ) malloc( NL * sizeof(double) );
   double *Barrier_array = ( double* ) malloc( NL * sizeof(double) );
+  double *Barrier2_array = ( double* ) malloc( NL * sizeof(double) );
   double *Rebate_array = ( double* ) malloc( NL * sizeof(double) );
 
   VALUE Ls = rb_hash_aref(MCInputs, rb_str_new2("leverage_ratios") );
@@ -157,6 +160,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   VALUE LSts = rb_hash_aref(MCInputs, rb_str_new2("lower_strikes") );
   VALUE USts = rb_hash_aref(MCInputs, rb_str_new2("upper_strikes") );
   VALUE Brs = rb_hash_aref(MCInputs, rb_str_new2("barriers") );
+  VALUE Brs2 = rb_hash_aref(MCInputs, rb_str_new2("barriers2") );
   VALUE Rbts = rb_hash_aref(MCInputs, rb_str_new2("rebates") );
 
   for (leg = 0; leg < NL; ++leg) {
@@ -189,6 +193,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       Barrier_array[leg]  = NUM2DBL( rb_ary_entry(Brs, leg) );
       Rebate_array[leg]   = NUM2DBL( rb_ary_entry(Rbts, leg) );
     }
+  } else if(KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT){
+    Barrier2_array[leg]  = NUM2DBL( rb_ary_entry(Brs2, leg) );
   }
 
   //
@@ -204,7 +210,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       }
     }
   }
-  else{  
+  else{
     metrics = ( double** ) malloc( DATAPOINTS * sizeof(double*) );
     for( metric = 0; metric < DATAPOINTS; metric++ ) {
       metrics[metric] = ( double* ) malloc( NL * sizeof(double) );
@@ -262,6 +268,16 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         if(knockedLeg_dash == -1 && knockin_dash >= 0){
           knockedLeg_dash = leg;
         }
+      } else if(KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT){
+        profit_loss = Spot;
+        profit_loss_dash = Spot_dash;
+
+        if(knockedLeg == -1 && (Spot <= *(Barrier_array + leg) || Spot >= *(Barrier2_array + leg))){
+          knockedLeg = leg;
+        }
+        if(knockedLeg_dash == -1 && (Spot_dash <= *(Barrier_array + leg) || Spot_dash >= *(Barrier2_array + leg))){
+          knockedLeg_dash = leg;
+        }
       } else if ( KType == DOUBLE_STRIKE_POINTS || KType == DOUBLE_STRIKE_ABSOLUTE || KType == DOUBLE_STRIKE_LEGS ) {
         if ( Spot < *( LSts_array + leg ) ) {
           profit_loss = Spot - (*( LSts_array + leg ));

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.47"
+  VERSION = "3.49"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.47'
+  version: '3.49'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-10-06 00:00:00.000000000 Z
+date: 2020-10-07 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
@@ -140,7 +140,7 @@ required_rubygems_version: !ruby/object:Gem::Requirement
     - !ruby/object:Gem::Version
       version: '0'
 requirements: []
-rubygems_version: 3.0.8
+rubygems_version: 3.0.6
 signing_key: 
 specification_version: 4
 summary: Monte Carlo Simulation.