tarf_monte_carlo 3.65 → 3.66

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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-  data.tar.gz: f882ae037b74ec0823880a030d71d59f617f8b93ffaaa6d3630078c73e9ceb9e
+  metadata.gz: 1398b6cb4be3ea51154d3da07ab8db53b46e32ea5340688de66f25583834141d
+  data.tar.gz: 73320e683ceb04104c1cc1803a3b753b104ddd7c150314f86c2408abf77558b2
 SHA512:
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-  data.tar.gz: e5ae1f9e36514c594aa5b29bced3861a17d7f66951f8c8ba0ae20dfd93ff7c00e5f45b0faff6ed86fcb8d6d5324788072078f866986ce2dc1405e74f63c457cd
+  metadata.gz: 4af0d39d2b3e43b47060886282badc77ac70aa03bd4f9573e3cca13b45a245ecb14d99c34ced0b7d4a36b6d11384ea048a78a37e029267a6f482419a643b0dfa
+  data.tar.gz: 0b2952a5b59c8c56a5d3b570f540c508572384f000ff82b887a7fd5d254445a726e458c1b33b3836a7949682225a11d1d57219314d3bc43fbe19d696244d6619

data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -212,6 +212,7 @@ 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 **metrics;
+  double pffm[SCount];
   if (barrier_variations(KType)){
     metrics = ( double** ) malloc( BARRIER_DP * sizeof(double*) );
     for( metric = 0; metric < BARRIER_DP; metric++ ) {
@@ -235,6 +236,9 @@ 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
+    pffm[sim_count] = 0;
+    pffm[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];
 
@@ -581,9 +585,11 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           double equivalent_notional = *( Ns_array + knockedLeg );
           sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
         } else {
+          pffm[sim_count] = knockedLeg2;
           sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
         }
       } else if(knockedLeg2 >= 0){
+        pffm[sim_count] = knockedLeg2;
         sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[knockedLeg2], dir_sign);
       } else if(knockedLeg >= 0) {
         double equivalent_notional = *( Ns_array + knockedLeg );
@@ -839,12 +845,19 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     }
   }
 
+  VALUE pffm_metrics = rb_ary_new();
+  for(metric = 0; metric < SCount; metric++) {
+    rb_ary_push(pffm_metrics, DBL2NUM(pffm[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("testing"), pffm_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 = "3.65"
+  VERSION = "3.66"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.65'
+  version: '3.66'
 platform: ruby
 authors:
 - Vivek Routh