tarf_monte_carlo 3.58 → 3.59

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Files changed (4) hide show
  1. checksums.yaml +4 -4
  2. data/ext/tarf_monte_carlo/tarf_monte_carlo.c +10 -15
  3. data/lib/tarf_monte_carlo/version.rb +1 -1
  4. metadata +2 -2
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c CHANGED
@@ -66,7 +66,6 @@ VALUE cTarfMonteCarlo = Qnil;
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  // Prototype for the initialization method - Ruby calls this, not you
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  void Init_tarf_monte_carlo();
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  double european_payoff(double, double, int, int, double);
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- double get_equivalent_notional(int, double, float);
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  double get_equivalent_rebate(int, double, float, int);
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  bool barrier_variations(int);
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  bool double_barrier_variations(int);
@@ -99,10 +98,6 @@ double european_payoff(double strike, double spot, int cp_sign, int dir_sign, do
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  return (diff * notional * dir_sign);
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  }
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- double get_equivalent_notional(int conversion_sign, double notional, float rate){
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- return (conversion_sign == 1) ? (notional / rate) : notional;
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- }
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-
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  double get_equivalent_rebate(int conversion_sign, double rebate, float rate, int dir_sign){
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  double total = (conversion_sign == 1) ? (rebate * rate) : rebate;
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  return (dir_sign * total);
@@ -453,14 +448,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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  double ko_so_far = K, ko_so_far_dash = K;
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  if(KType == FX_AMERICAN_BARRIER_KNOCKIN_DISCRETE || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN){
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  if(knockedLeg >= 0){
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- double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg ) ), sim[NL-1]);
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+ double equivalent_notional = *( Ns_array + knockedLeg );
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  sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
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  }
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  else{
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  sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1], dir_sign);
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  }
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  if(knockedLeg_dash >= 0 ){
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- double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
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+ double equivalent_notional = *( Ns_array + knockedLeg_dash );
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  sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
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  }
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  else{
@@ -544,13 +539,13 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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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);
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  } else if(knockedLeg >= 0) {
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- double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg ) ), sim[NL-1]);
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+ double equivalent_notional = *( Ns_array + knockedLeg );
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  sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
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  }
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  if(knockedLeg2_dash >= 0){
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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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  } else if(knockedLeg_dash >= 0) {
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- double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
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+ double equivalent_notional = *( Ns_array + knockedLeg_dash );
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  sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
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  }
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@@ -565,7 +560,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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  } else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI){
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  if(knockedLeg >= 0 && knockedLeg2 >= 0){
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  if(knockedLeg < knockedLeg2){
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- double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg ) ), sim[NL-1]);
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+ double equivalent_notional = *( Ns_array + knockedLeg );
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  sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
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  } else {
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  sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
@@ -573,13 +568,13 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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  } else if(knockedLeg2 >= 0){
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  sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
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  } else if(knockedLeg >= 0) {
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- double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg ) ), sim[NL-1]);
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+ double equivalent_notional = *( Ns_array + knockedLeg );
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  sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
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  }
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  if(knockedLeg_dash >= 0 && knockedLeg2_dash >= 0){
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  if(knockedLeg_dash < knockedLeg2_dash){
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- double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
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+ double equivalent_notional = *( Ns_array + knockedLeg_dash );
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  sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
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  } else {
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  sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[knockedLeg2_dash], dir_sign);
@@ -587,7 +582,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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  } else if(knockedLeg2_dash >= 0){
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  sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[knockedLeg2_dash], dir_sign);
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  } else if(knockedLeg_dash >= 0) {
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- double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + knockedLeg_dash ) ), sim_dash[NL-1]);
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+ double equivalent_notional = *( Ns_array + knockedLeg_dash );
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  sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
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  }
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@@ -604,14 +599,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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  sim_pos[knockedLeg] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg ) ), sim[knockedLeg], dir_sign);
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  }
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  else{
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- double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim[NL-1]);
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+ double equivalent_notional = *( Ns_array + 0 );
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  sim_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
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  }
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  if(knockedLeg_dash >= 0 ){
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  sim_dash_pos[knockedLeg_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg_dash ) ), sim[knockedLeg_dash], dir_sign);
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  }
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  else{
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- double equivalent_notional = get_equivalent_notional(conversion_sign, ( *( Ns_array + 0 ) ), sim_dash[NL-1]);
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+ double equivalent_notional = *( Ns_array + 0 );
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  sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + 0 ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
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  }
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data/lib/tarf_monte_carlo/version.rb CHANGED
@@ -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 = "3.58"
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+ VERSION = "3.59"
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  end
metadata CHANGED
@@ -1,14 +1,14 @@
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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: '3.58'
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+ version: '3.59'
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  platform: ruby
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  authors:
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  - Vivek Routh
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  autorequire:
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  bindir: exe
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  cert_chain: []
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- date: 2020-10-12 00:00:00.000000000 Z
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+ date: 2020-10-13 00:00:00.000000000 Z
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  dependencies:
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  - !ruby/object:Gem::Dependency
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  name: bundler