tarf_monte_carlo 3.63 → 3.64

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -300,18 +300,18 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         // Only Until Exp
         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) ){
           if ((knockedLeg == -1) && ((*(Barrier_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg = leg; }
-          if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg2 = leg; }
+          if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg2 = leg; }
 
           if ((knockedLeg_dash == -1) && ((*(Barrier_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg_dash = leg; }
-          if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg2_dash = leg; }
+          if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg2_dash = leg; }
         }
 
         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) ){
           if ((knockedLeg == -1) && ((*(Barrier_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg = leg; }
-          if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign <= 0)){ knockedLeg2 = leg; }
+          if ((knockedLeg2 == -1) && ((*(Barrier2_array + leg) - Spot) * cp_sign >= 0)){ knockedLeg2 = leg; }
 
           if ((knockedLeg_dash == -1) && ((*(Barrier_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg_dash = leg; }
-          if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg2_dash = leg; }
+          if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg2_dash = leg; }
         }
       } else if(KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKIN || KType == FX_AMERICAN_BARRIER_WINDOW_KNOCKOUT){
         profit_loss = Spot;

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.63"
+  VERSION = "3.64"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.63'
+  version: '3.64'
 platform: ruby
 authors:
 - Vivek Routh