tarf_monte_carlo 3.57 → 3.58

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checksums.yaml CHANGED
@@ -1,7 +1,7 @@
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@@ -502,6 +502,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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  sim_dash_pos[legIndex_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[legIndex_dash], dir_sign);
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  }
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  }
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+ if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
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+ metrics[0][point_pos] = sim[NL-1];
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+ metrics[1][point_pos] = *( Xs_array + 0 );
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+ metrics[0][point_pos+1] = sim_dash[NL-1];
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+ metrics[1][point_pos+1] = *( Xs_array + 0 );
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+ }
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  } else if(KType == FX_AMERICAN_BARRIER_BINARY_OUT_DISCRETE || KType == FX_AMERICAN_BARRIER_BINARY_CALLPUT_OUT_DISCRETE){
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  if(knockedLeg == -1){
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  int itm = true;
@@ -528,6 +534,12 @@ 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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  }
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+ if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
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+ metrics[0][point_pos] = sim[NL-1];
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+ metrics[1][point_pos] = *( Xs_array + 0 );
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+ metrics[0][point_pos+1] = sim_dash[NL-1];
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+ metrics[1][point_pos+1] = *( Xs_array + 0 );
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+ }
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  } else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP){
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  if(knockedLeg2 >= 0){
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  sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1], dir_sign);
@@ -3,5 +3,5 @@
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  # gem yank tarf_monte_carlo -v 2.3
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  module TarfMonteCarlo
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- VERSION = "3.57"
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+ VERSION = "3.58"
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  end
metadata CHANGED
@@ -1,7 +1,7 @@
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  --- !ruby/object:Gem::Specification
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  name: tarf_monte_carlo
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  version: !ruby/object:Gem::Version
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- version: '3.57'
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+ version: '3.58'
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  platform: ruby
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  authors:
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  - Vivek Routh