tarf_monte_carlo 4.0 → 4.01

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Files changed (5) hide show
  1. checksums.yaml +4 -4
  2. data/ext/tarf_monte_carlo/Makefile +24 -25
  3. data/ext/tarf_monte_carlo/tarf_monte_carlo.c +2 -2
  4. data/lib/tarf_monte_carlo/version.rb +1 -1
  5. metadata +2 -2
checksums.yaml CHANGED
@@ -1,7 +1,7 @@
1
1
  ---
2
2
  SHA256:
3
- metadata.gz: a84ace2095134b69a044f8b4459a0d5d55191f172c07bafeaf9c5ab6cba98700
4
- data.tar.gz: 9ce02dbd9b0b5291f2861a26f3a617ae9dcdccd2824ed7baabfeaf362f9e80c6
3
+ metadata.gz: dcb28d2f1c3f662185c981ea526e2281824674db223f1a985fb21b8d561aaac2
4
+ data.tar.gz: 9dbb8ab79cac6ddd06c9ae051c9be9bf0d3165c40e4264d27dbb370ae3f7d348
5
5
  SHA512:
6
- metadata.gz: 30aec9a5b8a4c28ae9d0bb3097f83bdbb08736b1c58ed78dee7c79162f08f3e2e4853791f87cb5d43673ca192d2d8c5d577b844850b077ffa04d7f81149ed97c
7
- data.tar.gz: fb00bbdd183633e3bbd9dfa838b9444eccb03710e92f8b1173b9706b5db3c42cd8151a20efeb4375dfd3827f502b6866155bcfa09b86ed4bb33d3395bebdeca4
6
+ metadata.gz: babd0341ce343a1d262bbfcfd31e066d6e0f50639e2303f77faa98732a600398fea02f80417754c460b974fc919d81f5f21f1f61e66b230c691d601a4ab723c8
7
+ data.tar.gz: 022d7afcd71ce6f2fcd9db1faa973a2031ac002b21d4220d9ac532a4e7def7e480adab1de19cd9373e6e0c61fbc45947470947a75377fa3fc4e73f4ed5aac51d
data/ext/tarf_monte_carlo/Makefile CHANGED
@@ -12,12 +12,12 @@ NULLCMD = :
12
12
  #### Start of system configuration section. ####
13
13
 
14
14
  srcdir = .
15
- topdir = /Users/vivektripathi/.rvm/rubies/ruby-2.5.1/include/ruby-2.5.0
15
+ topdir = /home/user/.rvm/rubies/ruby-2.5.1/include/ruby-2.5.0
16
16
  hdrdir = $(topdir)
17
- arch_hdrdir = /Users/vivektripathi/.rvm/rubies/ruby-2.5.1/include/ruby-2.5.0/x86_64-darwin18
17
+ arch_hdrdir = /home/user/.rvm/rubies/ruby-2.5.1/include/ruby-2.5.0/x86_64-linux
18
18
  PATH_SEPARATOR = :
19
19
  VPATH = $(srcdir):$(arch_hdrdir)/ruby:$(hdrdir)/ruby
20
- prefix = $(DESTDIR)/Users/vivektripathi/.rvm/rubies/ruby-2.5.1
20
+ prefix = $(DESTDIR)/home/user/.rvm/rubies/ruby-2.5.1
21
21
  rubysitearchprefix = $(rubylibprefix)/$(sitearch)
22
22
  rubyarchprefix = $(rubylibprefix)/$(arch)
23
23
  rubylibprefix = $(libdir)/$(RUBY_BASE_NAME)
@@ -50,7 +50,7 @@ dvidir = $(docdir)
50
50
  htmldir = $(docdir)
51
51
  infodir = $(datarootdir)/info
52
52
  docdir = $(datarootdir)/doc/$(PACKAGE)
53
- oldincludedir = $(SDKROOT)/usr/include
53
+ oldincludedir = $(DESTDIR)/usr/include
54
54
  includedir = $(prefix)/include
55
55
  localstatedir = $(prefix)/var
56
56
  sharedstatedir = $(prefix)/com
@@ -67,8 +67,8 @@ CC = gcc
67
67
  CXX = g++
68
68
  LIBRUBY = $(LIBRUBY_SO)
69
69
  LIBRUBY_A = lib$(RUBY_SO_NAME)-static.a
70
- LIBRUBYARG_SHARED = -l$(RUBY_SO_NAME)
71
- LIBRUBYARG_STATIC = -l$(RUBY_SO_NAME)-static -framework Foundation
70
+ LIBRUBYARG_SHARED = -Wl,-rpath,$(libdir) -L$(libdir) -l$(RUBY_SO_NAME)
71
+ LIBRUBYARG_STATIC = -Wl,-rpath,$(libdir) -L$(libdir) -l$(RUBY_SO_NAME)-static
72
72
  empty =
73
73
  OUTFLAG = -o $(empty)
74
74
  COUTFLAG = -o $(empty)
@@ -79,30 +79,30 @@ cflags = $(optflags) $(debugflags) $(warnflags)
79
79
  cxxflags = $(optflags) $(debugflags) $(warnflags)
80
80
  optflags = -O3
81
81
  debugflags = -ggdb3
82
- warnflags = -Wall -Wextra -Wno-unused-parameter -Wno-parentheses -Wno-long-long -Wno-missing-field-initializers -Wno-tautological-compare -Wno-parentheses-equality -Wno-constant-logical-operand -Wno-self-assign -Wunused-variable -Wimplicit-int -Wpointer-arith -Wwrite-strings -Wdeclaration-after-statement -Wshorten-64-to-32 -Wimplicit-function-declaration -Wdivision-by-zero -Wdeprecated-declarations -Wextra-tokens
83
- CCDLFLAGS = -fno-common
84
- CFLAGS = $(CCDLFLAGS) $(cflags) -fno-common -pipe $(ARCH_FLAG)
82
+ warnflags = -Wall -Wextra -Wno-unused-parameter -Wno-parentheses -Wno-long-long -Wno-missing-field-initializers -Wno-tautological-compare -Wno-parentheses-equality -Wno-constant-logical-operand -Wno-self-assign -Wunused-variable -Wimplicit-int -Wpointer-arith -Wwrite-strings -Wdeclaration-after-statement -Wimplicit-function-declaration -Wdeprecated-declarations -Wno-packed-bitfield-compat -Wsuggest-attribute=noreturn -Wsuggest-attribute=format -Wno-maybe-uninitialized
83
+ CCDLFLAGS = -fPIC
84
+ CFLAGS = $(CCDLFLAGS) $(cflags) -fPIC $(ARCH_FLAG)
85
85
  INCFLAGS = -I. -I$(arch_hdrdir) -I$(hdrdir)/ruby/backward -I$(hdrdir) -I$(srcdir)
86
86
  DEFS =
87
- CPPFLAGS = -I/usr/local/opt/libyaml/include -I/usr/local/opt/libksba/include -I/usr/local/opt/readline/include -I/usr/local/opt/zlib/include -I/usr/local/opt/openssl@1.1/include -D_XOPEN_SOURCE -D_DARWIN_C_SOURCE -D_DARWIN_UNLIMITED_SELECT -D_REENTRANT $(DEFS) $(cppflags)
87
+ CPPFLAGS = $(DEFS) $(cppflags)
88
88
  CXXFLAGS = $(CCDLFLAGS) $(cxxflags) $(ARCH_FLAG)
89
- ldflags = -L. -fstack-protector -L/usr/local/lib -L/usr/local/opt/libyaml/lib -L/usr/local/opt/libksba/lib -L/usr/local/opt/readline/lib -L/usr/local/opt/zlib/lib -L/usr/local/opt/openssl@1.1/lib
90
- dldflags = -Wl,-undefined,dynamic_lookup -Wl,-multiply_defined,suppress -L/usr/local/opt/libyaml/lib -L/usr/local/opt/libksba/lib -L/usr/local/opt/readline/lib -L/usr/local/opt/zlib/lib -L/usr/local/opt/openssl@1.1/lib
89
+ ldflags = -L. -fstack-protector -rdynamic -Wl,-export-dynamic
90
+ dldflags = -Wl,--compress-debug-sections=zlib
91
91
  ARCH_FLAG =
92
92
  DLDFLAGS = $(ldflags) $(dldflags) $(ARCH_FLAG)
93
- LDSHARED = $(CC) -dynamic -bundle
94
- LDSHAREDXX = $(CXX) -dynamic -bundle
95
- AR = libtool -static
93
+ LDSHARED = $(CC) -shared
94
+ LDSHAREDXX = $(CXX) -shared
95
+ AR = ar
96
96
  EXEEXT =
97
97
 
98
98
  RUBY_INSTALL_NAME = $(RUBY_BASE_NAME)
99
- RUBY_SO_NAME = ruby.2.5.1
99
+ RUBY_SO_NAME = ruby
100
100
  RUBYW_INSTALL_NAME =
101
101
  RUBY_VERSION_NAME = $(RUBY_BASE_NAME)-$(ruby_version)
102
102
  RUBYW_BASE_NAME = rubyw
103
103
  RUBY_BASE_NAME = ruby
104
104
 
105
- arch = x86_64-darwin18
105
+ arch = x86_64-linux
106
106
  sitearch = $(arch)
107
107
  ruby_version = 2.5.0
108
108
  ruby = $(bindir)/$(RUBY_BASE_NAME)
@@ -111,9 +111,9 @@ ruby_headers = $(hdrdir)/ruby.h $(hdrdir)/ruby/backward.h $(hdrdir)/ruby/ruby.h
111
111
 
112
112
  RM = rm -f
113
113
  RM_RF = $(RUBY) -run -e rm -- -rf
114
- RMDIRS = rmdir -p
115
- MAKEDIRS = /usr/local/opt/coreutils/bin/gmkdir -p
116
- INSTALL = /usr/local/opt/coreutils/bin/ginstall -c
114
+ RMDIRS = rmdir --ignore-fail-on-non-empty -p
115
+ MAKEDIRS = /bin/mkdir -p
116
+ INSTALL = /usr/bin/install -c
117
117
  INSTALL_PROG = $(INSTALL) -m 0755
118
118
  INSTALL_DATA = $(INSTALL) -m 644
119
119
  COPY = cp
@@ -122,8 +122,8 @@ TOUCH = exit >
122
122
  #### End of system configuration section. ####
123
123
 
124
124
  preload =
125
- libpath = . $(libdir) /usr/local/opt/libyaml/lib /usr/local/opt/libksba/lib /usr/local/opt/readline/lib /usr/local/opt/zlib/lib /usr/local/opt/openssl@1.1/lib
126
- LIBPATH = -L. -L$(libdir) -L/usr/local/opt/libyaml/lib -L/usr/local/opt/libksba/lib -L/usr/local/opt/readline/lib -L/usr/local/opt/zlib/lib -L/usr/local/opt/openssl@1.1/lib
125
+ libpath = . $(libdir)
126
+ LIBPATH = -L. -L$(libdir) -Wl,-rpath,$(libdir)
127
127
  DEFFILE =
128
128
 
129
129
  CLEANFILES = mkmf.log
@@ -134,7 +134,7 @@ extout =
134
134
  extout_prefix =
135
135
  target_prefix = /tarf_monte_carlo
136
136
  LOCAL_LIBS =
137
- LIBS = $(LIBRUBYARG_SHARED) -lpthread -ldl -lobjc
137
+ LIBS = $(LIBRUBYARG_SHARED) -lpthread -lgmp -ldl -lcrypt -lm -lc
138
138
  ORIG_SRCS = tarf_monte_carlo.c
139
139
  SRCS = $(ORIG_SRCS)
140
140
  OBJS = tarf_monte_carlo.o
@@ -143,7 +143,7 @@ LOCAL_HDRS =
143
143
  TARGET = tarf_monte_carlo
144
144
  TARGET_NAME = tarf_monte_carlo
145
145
  TARGET_ENTRY = Init_$(TARGET_NAME)
146
- DLLIB = $(TARGET).bundle
146
+ DLLIB = $(TARGET).so
147
147
  EXTSTATIC =
148
148
  STATIC_LIB =
149
149
 
@@ -257,7 +257,6 @@ $(TARGET_SO): $(OBJS) Makefile
257
257
  $(ECHO) linking shared-object tarf_monte_carlo/$(DLLIB)
258
258
  -$(Q)$(RM) $(@)
259
259
  $(Q) $(LDSHARED) -o $@ $(OBJS) $(LIBPATH) $(DLDFLAGS) $(LOCAL_LIBS) $(LIBS)
260
- $(Q) $(POSTLINK)
261
260
 
262
261
 
263
262
 
data/ext/tarf_monte_carlo/tarf_monte_carlo.c CHANGED
@@ -555,13 +555,13 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
555
555
  }
556
556
  } else if(KType == FX_AMERICAN_BARRIER_KIKO_UNTIL_EXP){
557
557
  if(knockedLeg2 >= 0){
558
- sim_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2 ) ), sim[NL-1], dir_sign);
558
+ sim_pos[knockedLeg2] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2 ) ), sim[knockedLeg2], dir_sign);
559
559
  } else if(knockedLeg >= 0) {
560
560
  double equivalent_notional = *( Ns_array + knockedLeg );
561
561
  sim_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg) ) ), sim[NL-1], cp_sign, dir_sign, equivalent_notional);
562
562
  }
563
563
  if(knockedLeg2_dash >= 0){
564
- sim_dash_pos[NL-1] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2 ) ), sim_dash[NL-1], dir_sign);
564
+ sim_dash_pos[knockedLeg2_dash] = get_equivalent_rebate(rebate_conversion_sign, ( *( Rebate_array + knockedLeg2 ) ), sim_dash[knockedLeg2_dash], dir_sign);
565
565
  } else if(knockedLeg_dash >= 0) {
566
566
  double equivalent_notional = *( Ns_array + knockedLeg_dash );
567
567
  sim_dash_pos[NL-1] = european_payoff(( *( Xs_array + (knockedLeg_dash) ) ), sim_dash[NL-1], cp_sign, dir_sign, equivalent_notional);
data/lib/tarf_monte_carlo/version.rb CHANGED
@@ -3,5 +3,5 @@
3
3
  # gem yank tarf_monte_carlo -v 2.3
4
4
 
5
5
  module TarfMonteCarlo
6
- VERSION = "4.0"
6
+ VERSION = "4.01"
7
7
  end
metadata CHANGED
@@ -1,7 +1,7 @@
1
1
  --- !ruby/object:Gem::Specification
2
2
  name: tarf_monte_carlo
3
3
  version: !ruby/object:Gem::Version
4
- version: '4.0'
4
+ version: '4.01'
5
5
  platform: ruby
6
6
  authors:
7
7
  - Vivek Routh
@@ -140,7 +140,7 @@ required_rubygems_version: !ruby/object:Gem::Requirement
140
140
  - !ruby/object:Gem::Version
141
141
  version: '0'
142
142
  requirements: []
143
- rubygems_version: 3.0.6
143
+ rubygems_version: 3.0.8
144
144
  signing_key:
145
145
  specification_version: 4
146
146
  summary: Monte Carlo Simulation.