tarf_monte_carlo 3.5 → 3.6
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 +2 -3
- data/lib/tarf_monte_carlo/version.rb +1 -1
- data/lib/tarf_monte_carlo.rb +5 -5
- metadata +2 -2
checksums.yaml
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@@ -1,7 +1,7 @@
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---
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SHA256:
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metadata.gz:
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data.tar.gz:
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metadata.gz: bb1130c50f083ee54950ca2a4d8325d462762da404fd52c8cd0a67534f1ea410
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data.tar.gz: 5cfb4c9642286a14869655c2ba082add5226d076be8998c78c5df2eccbbd702f
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: a1bc8757d3a7945059c5784f6180e596576a828a8283bc03ffa85243425f2300136d10cf5a69e4480c79ede4be88010c2f73171f8750182bbf6da7d2b0b3716b
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data.tar.gz: d7805cc57138165266e6e63b1ec062fad176ec598610c5317d21e9d756e097c060fe8b9101403df5ca91240619b316f46db2f47f433cb1aa80e4658985e0d8c7
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@@ -205,7 +205,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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double temp_payoff_ko_ccy = temp_payoff * pow( *( Xs_array + leg ), Ko_compare_mult );
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if( temp_payoff_ko_ccy > ko_so_far ) {
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-
sim_pos[leg] = ko_so_far * pow( *( Xs_array + leg ), Ko_compare_mult );
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sim_pos[leg] = ko_so_far * pow( *( Xs_array + leg ), (-1 * Ko_compare_mult) );
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ko_so_far = 0.0;
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} else if( temp_payoff_ko_ccy <= ko_so_far ) {
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sim_pos[leg] = temp_payoff; // take the payoff in +ve's
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@@ -224,7 +224,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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double temp_payoff_ko_ccy = temp_payoff_dash * pow( *( Xs_array + leg ), Ko_compare_mult );
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if( temp_payoff_ko_ccy > ko_so_far_dash ) {
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sim_dash_pos[leg] = ko_so_far_dash * pow( *( Xs_array + leg ), Ko_compare_mult );
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sim_dash_pos[leg] = ko_so_far_dash * pow( *( Xs_array + leg ), (-1 * Ko_compare_mult) );
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ko_so_far_dash = 0.0;
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} else if( temp_payoff_ko_ccy <= ko_so_far_dash ) {
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sim_dash_pos[leg] = temp_payoff_dash; // take the payoff in +ve's
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@@ -402,4 +402,3 @@ void Init_tarf_monte_carlo() {
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rb_define_singleton_method(cTarfMonteCarlo, "box_muller", method_box_muller, 0);
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rb_define_singleton_method(cTarfMonteCarlo, "run_monte_carlo", method_run_monte_carlo, -2);
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}
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-
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data/lib/tarf_monte_carlo.rb
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@@ -4,11 +4,11 @@ require "tarf_monte_carlo/version"
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# my_malloc/my_malloc will be the shared object built when the gem is
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# installed then copied into lib/my_malloc/.
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begin
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rescue LoadError
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end
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# begin
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# require "tarf_monte_carlo/#{RUBY_VERSION[/\d+.\d+/]}/tarf_monte_carlo"
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# rescue LoadError
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# require "tarf_monte_carlo/tarf_monte_carlo"
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# end
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module TarfMonteCarlo
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# Your code goes here...
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metadata
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@@ -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.
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version: '3.6'
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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: 2020-04-
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date: 2020-04-06 00:00:00.000000000 Z
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dependencies:
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- !ruby/object:Gem::Dependency
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name: bundler
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