tarf_monte_carlo 3.61 → 3.62

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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-  data.tar.gz: aec6753b1e912651e2c04357d833dbacc920442a32956993d25f37c1b07de19d
+  metadata.gz: 774a60220745dc9096b8d91dd54d01a7053bc78a3f3b70fcc631e9c451d59ede
+  data.tar.gz: d2a4bbf7986e338fdec318e7a0045fb92ceb86e9a7b276ad1bdfd8ae0a38d53f
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+  data.tar.gz: 7fdd0048cf2e8acbe0322da4f0618de813dc7de0245a2a30fc3f9b88b92138983e7239a6cc146eaafa2c03633250e461ab1abb654a28eed1321983c522f23d82

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -211,7 +211,6 @@ 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*) );
@@ -236,8 +235,6 @@ 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];
 
@@ -749,8 +746,6 @@ 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){
@@ -826,18 +821,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     }
   }
 
-
-  VALUE py_final_metrics = rb_ary_new();
-  for(metric = 0; metric < SCount; metric++) {
-    rb_ary_push(py_final_metrics, DBL2NUM(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 = "3.61"
+  VERSION = "3.62"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.61'
+  version: '3.62'
 platform: ruby
 authors:
 - Vivek Routh