tarf_monte_carlo 3.59 → 3.60

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
-  metadata.gz: 384c19cb2b52b6b7f0cd0b03f0128fc6401c2455286aa206770233781685a41c
-  data.tar.gz: 63d22411c3a1a438f679a8ce421fea26e9b6ad8bc5f479eb66532f9b3087c652
+  metadata.gz: 3e84d65efa37c58059ce27ed5c949cf99d734804ae813840e7da6b46694394af
+  data.tar.gz: 54943b6268ddf6ee4f4f7ac72d4dc3fe9f8abbee1176b159fee6c35428ac106e
 SHA512:
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+  metadata.gz: c49d6bed204c1e80f618c828dabc12febd6576c5b2e663bc3b36de24eda39c5f4d1783006ddf7996865809cb7174acaa4ed28fd353ebcef78505e1f305e75380
+  data.tar.gz: 5d520f207257d87a69bb9675fc3e6e36853378a0aef16c5f146a94ec2387f1de7bac75081266325a97728c80f5df8045328a2cd32599b076510d215f826c0e8a

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -211,6 +211,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   //
   // first create a 1-D array of pointers, and then, for each array entry, create another 1-D array.
   //
+  double payoffmet[SCount];
   double **metrics;
   if (barrier_variations(KType)){
     metrics = ( double** ) malloc( BARRIER_DP * sizeof(double*) );
@@ -235,6 +236,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   // run simulations loop
   for( sim_count = 0; sim_count < SCount; sim_count += 2 ) {
     // initial spot rate for each iteration would be current spot rate
+    payoffmet[sim_count] = 0;
+    payoffmet[sim_count + 1] = 0;
     double Spot = S, Spot_dash = S;
     double sim[NL], sim_pos[NL], sim_neg[NL], sim_dash[NL], sim_dash_pos[NL], sim_dash_neg[NL];
 
@@ -746,6 +749,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     pvs_neg[sim_count]      = sim_neg_sum;
     pvs_neg[sim_count + 1]  = sim_dash_neg_sum;
 
+    payoffmet[sim_count] = sim_pos_sum;
+    payoffmet[sim_count + 1] = sim_dash_pos_sum;
 
     if (barrier_variations(KType)){
       if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
@@ -821,12 +826,20 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     }
   }
 
+
+  VALUE py_final_metrics = rb_ary_new();
+  for(metric = 0; metric < SCount; metric++) {
+    VALUE leg_metrics = rb_ary_new();
+
+    rb_ary_push(py_final_metrics, payoffmet[metric]);
+  }
   // rb_p(rb_str_new2("Generating output hash"));
   VALUE final_pvs = rb_hash_new();
   rb_hash_aset(final_pvs, rb_str_new2("positive_pv"), DBL2NUM( pvs_pos_sum / SCount ));
   rb_hash_aset(final_pvs, rb_str_new2("negative_pv"), DBL2NUM( pvs_neg_sum / SCount ));
   rb_hash_aset(final_pvs, rb_str_new2("total_pv"), DBL2NUM( (pvs_neg_sum + pvs_pos_sum) / SCount ));
   rb_hash_aset(final_pvs, rb_str_new2("metrics"), final_metrics);
+  rb_hash_aset(final_pvs, rb_str_new2("payoffmetrics"), py_final_metrics);
 
   //
   // free your arrays from memory once you're done using them

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.59"
+  VERSION = "3.60"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.59'
+  version: '3.60'
 platform: ruby
 authors:
 - Vivek Routh