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/gbm_mc.h
+++ b/src/gbm_mc.h
@@ -3,8 +3,9 @@

 #include <time.h>

+struct Option;
 double gbm_simulation(double spot, double rfr, double vol, double tte, double rand);

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

 #endif