tarf_monte_carlo 3.54 → 3.55
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 +38 -1
- data/lib/tarf_monte_carlo/version.rb +1 -1
- metadata +1 -1
checksums.yaml
CHANGED
|
@@ -1,7 +1,7 @@
|
|
|
1
1
|
---
|
|
2
2
|
SHA256:
|
|
3
|
-
metadata.gz:
|
|
4
|
-
data.tar.gz:
|
|
3
|
+
metadata.gz: '06542868a0a9e3446d59880a36f2cc1f2d46c09ecf446c71fcad3ec235b08938'
|
|
4
|
+
data.tar.gz: a6922adce8b10804cf0b7c09e837d91736863c7f97de606d1d7bd0ec2c80fe11
|
|
5
5
|
SHA512:
|
|
6
|
-
metadata.gz:
|
|
7
|
-
data.tar.gz:
|
|
6
|
+
metadata.gz: 6508270dcdc5a5958d2de0aec826a3141d0a315a72561798903315b9d0b37a49f960a9376e7b302f79a408996098cb13e715096fd123a0f536a15414d06c029a
|
|
7
|
+
data.tar.gz: 8a6fb8e1a8554fbda71200c360db164ec4bf07953f672b7bd6982f4c2b7d394c7930dac88931f801a93438568e5976be490d31d25c334beb82d8748ca18d49d9
|
|
@@ -469,7 +469,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
|
469
469
|
metrics[1][point_pos+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
|
|
470
470
|
metrics[3][point_pos+1] = knockedLeg_dash;
|
|
471
471
|
}
|
|
472
|
-
} else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP
|
|
472
|
+
} else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP){
|
|
473
473
|
if(knockedLeg2 >= 0){
|
|
474
474
|
sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1], dir_sign);
|
|
475
475
|
} else if(knockedLeg >= 0) {
|
|
@@ -483,6 +483,43 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
|
|
|
483
483
|
sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
|
|
484
484
|
}
|
|
485
485
|
|
|
486
|
+
if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
|
|
487
|
+
metrics[0][point_pos] = sim[NL-1];
|
|
488
|
+
metrics[1][point_pos] = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
|
|
489
|
+
metrics[3][point_pos] = knockedLeg;
|
|
490
|
+
metrics[0][point_pos+1] = sim_dash[NL-1];
|
|
491
|
+
metrics[1][point_pos+1] = (knockedLeg_dash >= 0) ? ( *( Xs_array + (knockedLeg_dash) ) ) : 0;
|
|
492
|
+
metrics[3][point_pos+1] = knockedLeg_dash;
|
|
493
|
+
}
|
|
494
|
+
} else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI){
|
|
495
|
+
if(knockedLeg >= 0 && knockedLeg2 >= 0){
|
|
496
|
+
if(knockedLeg < knockedLeg2){
|
|
497
|
+
double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg ) ), sim[NL-1]);
|
|
498
|
+
sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
|
|
499
|
+
} else {
|
|
500
|
+
sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
|
|
501
|
+
}
|
|
502
|
+
} else if(knockedLeg2 >= 0){
|
|
503
|
+
sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
|
|
504
|
+
} else if(knockedLeg >= 0) {
|
|
505
|
+
double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg ) ), sim[NL-1]);
|
|
506
|
+
sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
|
|
507
|
+
}
|
|
508
|
+
|
|
509
|
+
if(knockedLeg_dash >= 0 && knockedLeg2_dash >= 0){
|
|
510
|
+
if(knockedLeg_dash < knockedLeg2_dash){
|
|
511
|
+
double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
|
|
512
|
+
sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
|
|
513
|
+
} else {
|
|
514
|
+
sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[knockedLeg2_dash], dir_sign);
|
|
515
|
+
}
|
|
516
|
+
} else if(knockedLeg2_dash >= 0){
|
|
517
|
+
sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[knockedLeg2_dash], dir_sign);
|
|
518
|
+
} else if(knockedLeg_dash >= 0) {
|
|
519
|
+
double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
|
|
520
|
+
sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
|
|
521
|
+
}
|
|
522
|
+
|
|
486
523
|
if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
|
|
487
524
|
metrics[0][point_pos] = sim[NL-1];
|
|
488
525
|
metrics[1][point_pos] = (knockedLeg >= 0) ? ( *( Xs_array + (knockedLeg) ) ) : 0;
|