kevindkeogh/opt-pricer
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cleanup

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Kevin Keogh
2017-04-17 23:52:36 -04:00
parent 8912cbd751
commit 0985dedd8f
2 changed files with 0 additions and 3 deletions
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1
src/gbm_mc.c
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@@ -13,7 +13,6 @@ double gbm_simulation(double spot, double rfr, double vol, double tte, double ra
drift = (rfr - pow(vol, 2) / 2) * tte; drift = (rfr - pow(vol, 2) / 2) * tte;
stoch = vol * pow(tte, 0.5) * rand; stoch = vol * pow(tte, 0.5) * rand;
return spot * exp(drift + stoch); return spot * exp(drift + stoch);
} }
double gbm(double spot, double rfr, double vol, double strike, struct tm expiry, double gbm(double spot, double rfr, double vol, double strike, struct tm expiry,

2
src/utils.c
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@@ -1,5 +1,3 @@
#define M_SQRT1_2 0.707106781186547524401
#include <math.h> #include <math.h>
#include <stdlib.h> #include <stdlib.h>