tarf_monte_carlo 3.64 → 3.65

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Files changed (4) hide show
  1. checksums.yaml +4 -4
  2. data/ext/tarf_monte_carlo/tarf_monte_carlo.c +4 -4
  3. data/lib/tarf_monte_carlo/version.rb +1 -1
  4. metadata +2 -2
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c CHANGED
@@ -283,14 +283,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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  profit_loss_dash = Spot_dash;
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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 ( ((*(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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  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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  }
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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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+ 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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@@ -298,7 +298,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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  if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg2_dash = leg; }
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  }
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  // Only Until Exp
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- 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) ){
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+ 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) ){
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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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@@ -306,7 +306,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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  if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign <= 0)){ knockedLeg2_dash = leg; }
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  }
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- 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) ){
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+ 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) ){
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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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data/lib/tarf_monte_carlo/version.rb CHANGED
@@ -3,5 +3,5 @@
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  # gem yank tarf_monte_carlo -v 2.3
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  module TarfMonteCarlo
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- VERSION = "3.64"
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+ VERSION = "3.65"
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  end
metadata CHANGED
@@ -1,14 +1,14 @@
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  --- !ruby/object:Gem::Specification
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  name: tarf_monte_carlo
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  version: !ruby/object:Gem::Version
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- version: '3.64'
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+ version: '3.65'
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  platform: ruby
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  authors:
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  - Vivek Routh
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  autorequire:
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  bindir: exe
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  cert_chain: []
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- date: 2020-10-14 00:00:00.000000000 Z
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+ date: 2020-10-15 00:00:00.000000000 Z
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  dependencies:
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  - !ruby/object:Gem::Dependency
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  name: bundler