tarf_monte_carlo 3.62 → 3.63

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Files changed (5) hide show
  1. checksums.yaml +4 -4
  2. data/ext/tarf_monte_carlo/Makefile +24 -25
  3. data/ext/tarf_monte_carlo/tarf_monte_carlo.c +27 -9
  4. data/lib/tarf_monte_carlo/version.rb +1 -1
  5. metadata +3 -3
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data/ext/tarf_monte_carlo/Makefile CHANGED
@@ -12,12 +12,12 @@ NULLCMD = :
12
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  #### Start of system configuration section. ####
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13
 
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  srcdir = .
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- topdir = /Users/vivektripathi/.rvm/rubies/ruby-2.5.1/include/ruby-2.5.0
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+ topdir = /home/user/.rvm/rubies/ruby-2.5.1/include/ruby-2.5.0
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  hdrdir = $(topdir)
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- arch_hdrdir = /Users/vivektripathi/.rvm/rubies/ruby-2.5.1/include/ruby-2.5.0/x86_64-darwin18
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+ arch_hdrdir = /home/user/.rvm/rubies/ruby-2.5.1/include/ruby-2.5.0/x86_64-linux
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  PATH_SEPARATOR = :
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  VPATH = $(srcdir):$(arch_hdrdir)/ruby:$(hdrdir)/ruby
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- prefix = $(DESTDIR)/Users/vivektripathi/.rvm/rubies/ruby-2.5.1
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+ prefix = $(DESTDIR)/home/user/.rvm/rubies/ruby-2.5.1
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  rubysitearchprefix = $(rubylibprefix)/$(sitearch)
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  rubyarchprefix = $(rubylibprefix)/$(arch)
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  rubylibprefix = $(libdir)/$(RUBY_BASE_NAME)
@@ -50,7 +50,7 @@ dvidir = $(docdir)
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  htmldir = $(docdir)
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  infodir = $(datarootdir)/info
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  docdir = $(datarootdir)/doc/$(PACKAGE)
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- oldincludedir = $(SDKROOT)/usr/include
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+ oldincludedir = $(DESTDIR)/usr/include
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  includedir = $(prefix)/include
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  localstatedir = $(prefix)/var
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  sharedstatedir = $(prefix)/com
@@ -67,8 +67,8 @@ CC = gcc
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  CXX = g++
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  LIBRUBY = $(LIBRUBY_SO)
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  LIBRUBY_A = lib$(RUBY_SO_NAME)-static.a
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- LIBRUBYARG_SHARED = -l$(RUBY_SO_NAME)
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- LIBRUBYARG_STATIC = -l$(RUBY_SO_NAME)-static -framework Foundation
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+ LIBRUBYARG_SHARED = -Wl,-rpath,$(libdir) -L$(libdir) -l$(RUBY_SO_NAME)
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+ LIBRUBYARG_STATIC = -Wl,-rpath,$(libdir) -L$(libdir) -l$(RUBY_SO_NAME)-static
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  empty =
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  OUTFLAG = -o $(empty)
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  COUTFLAG = -o $(empty)
@@ -79,30 +79,30 @@ cflags = $(optflags) $(debugflags) $(warnflags)
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  cxxflags = $(optflags) $(debugflags) $(warnflags)
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  optflags = -O3
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  debugflags = -ggdb3
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- warnflags = -Wall -Wextra -Wno-unused-parameter -Wno-parentheses -Wno-long-long -Wno-missing-field-initializers -Wno-tautological-compare -Wno-parentheses-equality -Wno-constant-logical-operand -Wno-self-assign -Wunused-variable -Wimplicit-int -Wpointer-arith -Wwrite-strings -Wdeclaration-after-statement -Wshorten-64-to-32 -Wimplicit-function-declaration -Wdivision-by-zero -Wdeprecated-declarations -Wextra-tokens
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- CCDLFLAGS = -fno-common
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- CFLAGS = $(CCDLFLAGS) $(cflags) -fno-common -pipe $(ARCH_FLAG)
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+ warnflags = -Wall -Wextra -Wno-unused-parameter -Wno-parentheses -Wno-long-long -Wno-missing-field-initializers -Wno-tautological-compare -Wno-parentheses-equality -Wno-constant-logical-operand -Wno-self-assign -Wunused-variable -Wimplicit-int -Wpointer-arith -Wwrite-strings -Wdeclaration-after-statement -Wimplicit-function-declaration -Wdeprecated-declarations -Wno-packed-bitfield-compat -Wsuggest-attribute=noreturn -Wsuggest-attribute=format -Wno-maybe-uninitialized
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+ CCDLFLAGS = -fPIC
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+ CFLAGS = $(CCDLFLAGS) $(cflags) -fPIC $(ARCH_FLAG)
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  INCFLAGS = -I. -I$(arch_hdrdir) -I$(hdrdir)/ruby/backward -I$(hdrdir) -I$(srcdir)
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  DEFS =
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- CPPFLAGS = -I/usr/local/opt/libyaml/include -I/usr/local/opt/libksba/include -I/usr/local/opt/readline/include -I/usr/local/opt/zlib/include -I/usr/local/opt/openssl@1.1/include -D_XOPEN_SOURCE -D_DARWIN_C_SOURCE -D_DARWIN_UNLIMITED_SELECT -D_REENTRANT $(DEFS) $(cppflags)
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+ CPPFLAGS = $(DEFS) $(cppflags)
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  CXXFLAGS = $(CCDLFLAGS) $(cxxflags) $(ARCH_FLAG)
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- ldflags = -L. -fstack-protector -L/usr/local/lib -L/usr/local/opt/libyaml/lib -L/usr/local/opt/libksba/lib -L/usr/local/opt/readline/lib -L/usr/local/opt/zlib/lib -L/usr/local/opt/openssl@1.1/lib
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- dldflags = -Wl,-undefined,dynamic_lookup -Wl,-multiply_defined,suppress -L/usr/local/opt/libyaml/lib -L/usr/local/opt/libksba/lib -L/usr/local/opt/readline/lib -L/usr/local/opt/zlib/lib -L/usr/local/opt/openssl@1.1/lib
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+ ldflags = -L. -fstack-protector -rdynamic -Wl,-export-dynamic
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+ dldflags = -Wl,--compress-debug-sections=zlib
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  ARCH_FLAG =
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  DLDFLAGS = $(ldflags) $(dldflags) $(ARCH_FLAG)
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- LDSHARED = $(CC) -dynamic -bundle
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- LDSHAREDXX = $(CXX) -dynamic -bundle
95
- AR = libtool -static
93
+ LDSHARED = $(CC) -shared
94
+ LDSHAREDXX = $(CXX) -shared
95
+ AR = ar
96
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  EXEEXT =
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98
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  RUBY_INSTALL_NAME = $(RUBY_BASE_NAME)
99
- RUBY_SO_NAME = ruby.2.5.1
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+ RUBY_SO_NAME = ruby
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  RUBYW_INSTALL_NAME =
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  RUBY_VERSION_NAME = $(RUBY_BASE_NAME)-$(ruby_version)
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  RUBYW_BASE_NAME = rubyw
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  RUBY_BASE_NAME = ruby
104
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105
- arch = x86_64-darwin18
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+ arch = x86_64-linux
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  sitearch = $(arch)
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  ruby_version = 2.5.0
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  ruby = $(bindir)/$(RUBY_BASE_NAME)
@@ -111,9 +111,9 @@ ruby_headers = $(hdrdir)/ruby.h $(hdrdir)/ruby/backward.h $(hdrdir)/ruby/ruby.h
111
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112
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  RM = rm -f
113
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  RM_RF = $(RUBY) -run -e rm -- -rf
114
- RMDIRS = rmdir -p
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- MAKEDIRS = /usr/local/opt/coreutils/bin/gmkdir -p
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- INSTALL = /usr/local/opt/coreutils/bin/ginstall -c
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+ RMDIRS = rmdir --ignore-fail-on-non-empty -p
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+ MAKEDIRS = /bin/mkdir -p
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+ INSTALL = /usr/bin/install -c
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  INSTALL_PROG = $(INSTALL) -m 0755
118
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  INSTALL_DATA = $(INSTALL) -m 644
119
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  COPY = cp
@@ -122,8 +122,8 @@ TOUCH = exit >
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  #### End of system configuration section. ####
123
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124
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  preload =
125
- libpath = . $(libdir) /usr/local/opt/libyaml/lib /usr/local/opt/libksba/lib /usr/local/opt/readline/lib /usr/local/opt/zlib/lib /usr/local/opt/openssl@1.1/lib
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- LIBPATH = -L. -L$(libdir) -L/usr/local/opt/libyaml/lib -L/usr/local/opt/libksba/lib -L/usr/local/opt/readline/lib -L/usr/local/opt/zlib/lib -L/usr/local/opt/openssl@1.1/lib
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+ libpath = . $(libdir)
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+ LIBPATH = -L. -L$(libdir) -Wl,-rpath,$(libdir)
127
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  DEFFILE =
128
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129
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  CLEANFILES = mkmf.log
@@ -134,7 +134,7 @@ extout =
134
134
  extout_prefix =
135
135
  target_prefix = /tarf_monte_carlo
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  LOCAL_LIBS =
137
- LIBS = $(LIBRUBYARG_SHARED) -lpthread -ldl -lobjc
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+ LIBS = $(LIBRUBYARG_SHARED) -lpthread -lgmp -ldl -lcrypt -lm -lc
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  ORIG_SRCS = tarf_monte_carlo.c
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  SRCS = $(ORIG_SRCS)
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  OBJS = tarf_monte_carlo.o
@@ -143,7 +143,7 @@ LOCAL_HDRS =
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  TARGET = tarf_monte_carlo
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  TARGET_NAME = tarf_monte_carlo
145
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  TARGET_ENTRY = Init_$(TARGET_NAME)
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- DLLIB = $(TARGET).bundle
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+ DLLIB = $(TARGET).so
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  EXTSTATIC =
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  STATIC_LIB =
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@@ -257,7 +257,6 @@ $(TARGET_SO): $(OBJS) Makefile
257
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  $(ECHO) linking shared-object tarf_monte_carlo/$(DLLIB)
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  -$(Q)$(RM) $(@)
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  $(Q) $(LDSHARED) -o $@ $(OBJS) $(LIBPATH) $(DLDFLAGS) $(LOCAL_LIBS) $(LIBS)
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- $(Q) $(POSTLINK)
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262
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c CHANGED
@@ -281,19 +281,37 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
281
281
  } else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_KI || KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP){
282
282
  profit_loss = Spot;
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  profit_loss_dash = Spot_dash;
284
-
285
- if(knockedLeg == -1 && (Spot >= *(Barrier_array + leg))){
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- knockedLeg = leg;
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+
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+ // Both Until KI & Exp
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+ if ( ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign < 0) && ((*(Barrier2_array + leg) - *(Xs_array + leg)) * cp_sign > 0) ){
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+ if ((knockedLeg == -1) && ((*(Barrier_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg = leg; }
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+ if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg2 = leg; }
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+
290
+ if ((knockedLeg_dash == -1) && ((*(Barrier_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg_dash = leg; }
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+ if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg2_dash = leg; }
287
292
  }
288
- if(knockedLeg_dash == -1 && (Spot_dash >= *(Barrier_array + leg))){
289
- knockedLeg_dash = leg;
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+ else if( ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign > 0) && ((*(Barrier2_array + leg) - *(Xs_array + leg)) * cp_sign < 0) ){
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+ if ((knockedLeg == -1) && ((*(Barrier_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg = leg; }
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+ if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg2 = leg; }
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+
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+ if ((knockedLeg_dash == -1) && ((*(Barrier_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg_dash = leg; }
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+ if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg2_dash = leg; }
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  }
300
+ // Only Until Exp
301
+ else if( (KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP) && ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign > 0) && ((*(Barrier2_array + leg) - *(Barrier_array + leg)) * cp_sign > 0) ){
302
+ if ((knockedLeg == -1) && ((*(Barrier_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg = leg; }
303
+ if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg2 = leg; }
291
304
 
292
- if(knockedLeg2 == -1 && (Spot >= *(Barrier2_array + leg))){
293
- knockedLeg2 = leg;
305
+ if ((knockedLeg_dash == -1) && ((*(Barrier_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg_dash = leg; }
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+ if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg2_dash = leg; }
294
307
  }
295
- if(knockedLeg2_dash == -1 && (Spot_dash >= *(Barrier2_array + leg))){
296
- knockedLeg2_dash = leg;
308
+
309
+ else if( (KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP) && ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign < 0) && ((*(Barrier2_array + leg) - *(Barrier_array + leg)) * cp_sign < 0) ){
310
+ if ((knockedLeg == -1) && ((*(Barrier_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg = leg; }
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+ if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg2 = leg; }
312
+
313
+ if ((knockedLeg_dash == -1) && ((*(Barrier_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg_dash = leg; }
314
+ if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg2_dash = leg; }
297
315
  }
298
316
  } else if(KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT){
299
317
  profit_loss = Spot;
data/lib/tarf_monte_carlo/version.rb CHANGED
@@ -3,5 +3,5 @@
3
3
  # gem yank tarf_monte_carlo -v 2.3
4
4
 
5
5
  module TarfMonteCarlo
6
- VERSION = "3.62"
6
+ VERSION = "3.63"
7
7
  end
metadata CHANGED
@@ -1,14 +1,14 @@
1
1
  --- !ruby/object:Gem::Specification
2
2
  name: tarf_monte_carlo
3
3
  version: !ruby/object:Gem::Version
4
- version: '3.62'
4
+ version: '3.63'
5
5
  platform: ruby
6
6
  authors:
7
7
  - Vivek Routh
8
8
  autorequire:
9
9
  bindir: exe
10
10
  cert_chain: []
11
- date: 2020-10-13 00:00:00.000000000 Z
11
+ date: 2020-10-14 00:00:00.000000000 Z
12
12
  dependencies:
13
13
  - !ruby/object:Gem::Dependency
14
14
  name: bundler
@@ -140,7 +140,7 @@ required_rubygems_version: !ruby/object:Gem::Requirement
140
140
  - !ruby/object:Gem::Version
141
141
  version: '0'
142
142
  requirements: []
143
- rubygems_version: 3.0.6
143
+ rubygems_version: 3.0.8
144
144
  signing_key:
145
145
  specification_version: 4
146
146
  summary: Monte Carlo Simulation.