tarf_monte_carlo 3.59 → 3.60
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 +13 -0
- data/lib/tarf_monte_carlo/version.rb +1 -1
- metadata +1 -1
checksums.yaml
CHANGED
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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: 3e84d65efa37c58059ce27ed5c949cf99d734804ae813840e7da6b46694394af
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data.tar.gz: 54943b6268ddf6ee4f4f7ac72d4dc3fe9f8abbee1176b159fee6c35428ac106e
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: c49d6bed204c1e80f618c828dabc12febd6576c5b2e663bc3b36de24eda39c5f4d1783006ddf7996865809cb7174acaa4ed28fd353ebcef78505e1f305e75380
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data.tar.gz: 5d520f207257d87a69bb9675fc3e6e36853378a0aef16c5f146a94ec2387f1de7bac75081266325a97728c80f5df8045328a2cd32599b076510d215f826c0e8a
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@@ -211,6 +211,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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//
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// first create a 1-D array of pointers, and then, for each array entry, create another 1-D array.
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//
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double payoffmet[SCount];
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double **metrics;
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if (barrier_variations(KType)){
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metrics = ( double** ) malloc( BARRIER_DP * sizeof(double*) );
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@@ -235,6 +236,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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// run simulations loop
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for( sim_count = 0; sim_count < SCount; sim_count += 2 ) {
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// initial spot rate for each iteration would be current spot rate
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payoffmet[sim_count] = 0;
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payoffmet[sim_count + 1] = 0;
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double Spot = S, Spot_dash = S;
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double sim[NL], sim_pos[NL], sim_neg[NL], sim_dash[NL], sim_dash_pos[NL], sim_dash_neg[NL];
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@@ -746,6 +749,8 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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pvs_neg[sim_count] = sim_neg_sum;
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pvs_neg[sim_count + 1] = sim_dash_neg_sum;
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payoffmet[sim_count] = sim_pos_sum;
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payoffmet[sim_count + 1] = sim_dash_pos_sum;
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if (barrier_variations(KType)){
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if ((point_pos < DATAPOINTS) && (sim_count % INTERVAL) == 0){
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@@ -821,12 +826,20 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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}
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}
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VALUE py_final_metrics = rb_ary_new();
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for(metric = 0; metric < SCount; metric++) {
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VALUE leg_metrics = rb_ary_new();
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rb_ary_push(py_final_metrics, payoffmet[metric]);
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}
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// rb_p(rb_str_new2("Generating output hash"));
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VALUE final_pvs = rb_hash_new();
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rb_hash_aset(final_pvs, rb_str_new2("positive_pv"), DBL2NUM( pvs_pos_sum / SCount ));
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rb_hash_aset(final_pvs, rb_str_new2("negative_pv"), DBL2NUM( pvs_neg_sum / SCount ));
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rb_hash_aset(final_pvs, rb_str_new2("total_pv"), DBL2NUM( (pvs_neg_sum + pvs_pos_sum) / SCount ));
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rb_hash_aset(final_pvs, rb_str_new2("metrics"), final_metrics);
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rb_hash_aset(final_pvs, rb_str_new2("payoffmetrics"), py_final_metrics);
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//
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// free your arrays from memory once you're done using them
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