diff --git a/src/gbm_mc.c b/src/gbm_mc.c index cdcadd4..1447de7 100644 --- a/src/gbm_mc.c +++ b/src/gbm_mc.c @@ -13,7 +13,6 @@ double gbm_simulation(double spot, double rfr, double vol, double tte, double ra drift = (rfr - pow(vol, 2) / 2) * tte; stoch = vol * pow(tte, 0.5) * rand; return spot * exp(drift + stoch); - } double gbm(double spot, double rfr, double vol, double strike, struct tm expiry, diff --git a/src/utils.c b/src/utils.c index aa188c6..716cea3 100644 --- a/src/utils.c +++ b/src/utils.c @@ -1,5 +1,3 @@ -#define M_SQRT1_2 0.707106781186547524401 - #include #include