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Cleanup and function simplification

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Kevin
2017-09-16 17:37:52 -04:00
parent e889a85b4c
commit b7f398d8d0
1 changed files with 3 additions and 11 deletions
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14
models.go
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@@ -7,7 +7,6 @@ import (
) )
// Option struct that holds all the details of an option // Option struct that holds all the details of an option
// Option details
type Option struct { type Option struct {
OptType int64 OptType int64
Strike float64 Strike float64
@@ -39,11 +38,9 @@ func gbmSimulation(spot float64, rfr float64, vol float64, tte float64, randNum
return spot * math.Exp(drift+stoch) return spot * math.Exp(drift+stoch)
} }
// runSimulations is the main function that runs Monte Carlo simulations // PriceMonteCarlo is the exported method to run the simulations and value
// for an option. Note that it runs normal Geometric Brownian Motion // a vanilla option using Monte Carlo methods
// to calculate the future spot levels func (opt *Option) PriceMonteCarlo() {
func runSimulations(opt *Option) {
var i int64 var i int64
var level float64 var level float64
@@ -89,8 +86,3 @@ func runSimulations(opt *Option) {
opt.Rho = (opt.Rho/float64(opt.Sims)*math.Exp(-(opt.Rfr+0.01)*tte) - opt.FV) opt.Rho = (opt.Rho/float64(opt.Sims)*math.Exp(-(opt.Rfr+0.01)*tte) - opt.FV)
} }
// PriceMonteCarlo is the exported method to run the simulations and value
// a vanilla option using Monte Carlo methods
func (opt *Option) PriceMonteCarlo() {
runSimulations(opt)
}