tarf_monte_carlo 3.64 → 3.65

checksums.yaml

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

@@ -283,14 +283,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         profit_loss_dash = Spot_dash;
         
         // Both Until KI & Exp
-        if ( ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign < 0) && ((*(Barrier2_array + leg) - *(Xs_array + leg)) * cp_sign > 0) ){
+        if ( ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign <= 0) && ((*(Barrier2_array + leg) - *(Xs_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 ((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; }
         }
-        else if( ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign > 0) && ((*(Barrier2_array + leg) - *(Xs_array + leg)) * cp_sign < 0) ){
+        else if( ((*(Barrier_array + leg) - *(Xs_array + leg)) * cp_sign >= 0) && ((*(Barrier2_array + leg) - *(Xs_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; }
 
@@ -298,7 +298,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           if ((knockedLeg2_dash == -1) && ((*(Barrier2_array + leg) - Spot_dash) * cp_sign >= 0)){ knockedLeg2_dash = leg; }
         }
         // 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) ){
+        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; }
 
@@ -306,7 +306,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           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) ){
+        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; }
 

data/lib/tarf_monte_carlo/version.rb

@@ -3,5 +3,5 @@
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.64"
+  VERSION = "3.65"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.64'
+  version: '3.65'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-10-14 00:00:00.000000000 Z
+date: 2020-10-15 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler