Changes in progress, added calculations for FinDiff greeks

2017-07-24 22:58:41 -04:00
parent 58d17adfa2
commit 15d750abf1
7 changed files with 186 additions and 99 deletions
--- a/src/black_scholes.h
+++ b/src/black_scholes.h
@@ -1,14 +1,7 @@
 #ifndef BLACK_SCHOLES_H_
 #define BLACK_SCHOLES_H_

-struct tm;
-
-double gbm(double spot, double rfr, double vol, double strike, struct tm expiry,
-		struct tm value, int type, int sims);
-
-double normalcdf(double value);
-
-double bsm(double spot, double rfr, double vol, double strike, struct tm expiry,
-		struct tm value, int type);
+struct Option;
+void bsm(struct Option *option);

 #endif