tarf_monte_carlo 3.57 → 3.58

checksums.yaml

@@ -1,7 +1,7 @@
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -502,6 +502,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           sim_dash_pos[legIndex_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[legIndex_dash], dir_sign);
         }
       }
+      if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
+        metrics[0][point_pos]   = sim[NL-1];
+        metrics[1][point_pos]   = *( Xs_array + 0 );
+        metrics[0][point_pos+1] = sim_dash[NL-1];
+        metrics[1][point_pos+1] = *( Xs_array + 0 );
+      }
     } else if(KType == FX_AMERICAN_BARRIER_BINARY_OUT_DISCRETE || KType == FX_AMERICAN_BARRIER_BINARY_CALLPUT_OUT_DISCRETE){
       if(knockedLeg == -1){
         int itm = true;
@@ -528,6 +534,12 @@ 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]   = *( Xs_array + 0 );
+        metrics[0][point_pos+1] = sim_dash[NL-1];
+        metrics[1][point_pos+1] = *( Xs_array + 0 );
+      }
     } else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP){
       if(knockedLeg2 >= 0){
         sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1], dir_sign);

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.57"
+  VERSION = "3.58"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.57'
+  version: '3.58'
 platform: ruby
 authors:
 - Vivek Routh