tarf_monte_carlo 3.66 → 3.67

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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+  metadata.gz: 4eaec9a6c923daa279367d27ae6d5c7739d54a8d6581395b887429907a028792
+  data.tar.gz: 91f799dc24f730b68afdd7977cf5dbdca20e3d0d9973d3b3eb78ce044a898d81
 SHA512:
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -212,7 +212,6 @@ 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++ ) {
@@ -236,9 +235,6 @@ 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];
 
@@ -559,13 +555,13 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       }
     } else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP){
       if(knockedLeg2 >= 0){
-        sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim[NL-1], dir_sign);
+        sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2 ) ), sim[NL-1], dir_sign);
       } else if(knockedLeg >= 0) {
         double equivalent_notional = *( Ns_array + knockedLeg );
         sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
       }
       if(knockedLeg2_dash >= 0){
-        sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[NL-1], dir_sign);
+        sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2 ) ), sim_dash[NL-1], dir_sign);
       } else if(knockedLeg_dash >= 0) {
         double equivalent_notional = *( Ns_array + knockedLeg_dash );
         sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
@@ -585,12 +581,10 @@ 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);
+          sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2 ) ), 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);
+        sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2 ) ), sim[knockedLeg2], dir_sign);
       } else if(knockedLeg >= 0) {
         double equivalent_notional = *( Ns_array + knockedLeg );
         sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
@@ -601,10 +595,10 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           double equivalent_notional = *( Ns_array + knockedLeg_dash );
           sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
         } else {
-          sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[knockedLeg2_dash], dir_sign);
+          sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2_dash ) ), sim_dash[knockedLeg2_dash], dir_sign);
         }
       } else if(knockedLeg2_dash >= 0){
-        sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + 0 ) ), sim_dash[knockedLeg2_dash], dir_sign);
+        sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2_dash ) ), sim_dash[knockedLeg2_dash], dir_sign);
       } else if(knockedLeg_dash >= 0) {
         double equivalent_notional = *( Ns_array + knockedLeg_dash );
         sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
@@ -845,19 +839,12 @@ 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 = "3.66"
+  VERSION = "3.67"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '3.66'
+  version: '3.67'
 platform: ruby
 authors:
 - Vivek Routh