Style cleanup, add comments

src/gbm_mc.c

@@ -1,5 +1,5 @@
 #define _XOPEN_SOURCE
-#define max(X,Y) (((X) > (Y)) ? (X) : (Y))
+#define max(X, Y) (((X) > (Y)) ? (X) : (Y))
 
 #include "gbm_mc.h"
 #include "utils.h"
@@ -28,6 +28,8 @@ double gbm_simulation(double spot, double rfr, double vol, double tte, double ra
 
 void *run_simulations(void *opt_ptr)
 {
+	/* A single thread simulation, calculates the PV and Greeks */
+
 	int i;
 	double tte, theta_tte, expiry_date, value_date, level, rand, df;
 	double delta_shift = 0, vega_shift = 0, theta_shift = 0, rho_shift = 0;
@@ -36,16 +38,17 @@ void *run_simulations(void *opt_ptr)
 	double base = 0;
 	double max_rand = 0;
 
-	struct Option *opt = (struct Option*) opt_ptr;
+	struct Option *opt = (struct Option *) opt_ptr;
 
-	if (opt->sims < 1) opt->sims = 1;
+	if (opt->sims < 1)
+		opt->sims = 1;
 
 	expiry_date = mktime(opt->expiry_date);
 	value_date = mktime(opt->value_date);
 	tte = difftime(expiry_date, value_date) / (60 * 60 * 24 * 365);
 	theta_tte = tte - 1. / 365;
 
-	for (i=0; i<opt->sims; i++) {
+	for (i = 0; i < opt->sims; i++) {
 		rand = opt->randoms[i];
 		max_rand = rand > max_rand ? rand : max_rand;
 		/* Base scenario */
@@ -103,30 +106,41 @@ void gbm(struct Option *opt)
 	pthread_t *threads;
 	struct Option *options;
 	double **randoms;
+
 	options = malloc(sizeof(struct Option) * NUM_THREADS);
-	randoms = malloc(sizeof(double*) * NUM_THREADS);
+	randoms = malloc(sizeof(double *) * NUM_THREADS);
+
+	/* Create 2D array */
 	for(i=0; i<NUM_THREADS; i++) {
 		randoms[i] = malloc(sizeof(double) * opt->sims / NUM_THREADS);
 	}
 
-	/* generate array of normal randoms */
-	for(i=0;;) {
-		if (j == (opt->sims / NUM_THREADS)) {
+	/* Fill 2D array with normal randoms
+	 * The purpose is to give the Option structs the random
+	 * numbers they will need for simulations, as opposed to
+	 * having the individual threads do so (rand() is not thread-safe)
+	 */
+	j = 0;
+	i = 0;
+	for(i = 0; i < NUM_THREADS;){
+		randoms[i][j] = gaussrand();
+		if (j >= (opt->sims / NUM_THREADS)) {
 			j = 0;
 			i += 1;
 		}
-
-		if (i == NUM_THREADS) {
-			break;
-		}
-
-		randoms[i][j] = gaussrand();
 		j++;
 	}
 
+	/* Set the number of simulations on a per-thread basis
+	 */
 	opt->sims = opt->sims / NUM_THREADS;
+
 	for(i=0; i<NUM_THREADS; i++) {
 		options[i] = *opt;
+		/* These are pointers, so need to copy them directly,
+		 * otherwise we will probably have 2 threads trying to
+		 * access them at the same time
+		 */
 		options[i].expiry_date = opt->expiry_date;
 		options[i].value_date = opt->value_date;
 		options[i].randoms = randoms[i];
@@ -145,8 +159,9 @@ void gbm(struct Option *opt)
 	for(i=0; i<NUM_THREADS; i++) {
 		void *res;
 		struct Option *result;
+
 		pthread_join(threads[i], &res);
-		result = (struct Option*) res;
+		result = (struct Option *) res;
 		opt->fv    += result->fv / NUM_THREADS;
 		opt->delta += result->delta / NUM_THREADS;
 		opt->gamma += result->gamma / NUM_THREADS;
@@ -156,4 +171,9 @@ void gbm(struct Option *opt)
 		opt->sims  += result->sims;
 	}
 
+	free(threads);
+	for(i=0; i<NUM_THREADS; i++)
+		free(randoms[i]);
+	free(randoms);
+
 }

src/opt-pricer.c

@@ -10,6 +10,7 @@
 
 #include <locale.h>
 #include <stdio.h>
+#include <stdlib.h>
 #include <string.h>
 #include <time.h>
 #include <getopt.h>
@@ -42,7 +43,7 @@ static struct helptext options[] = {
 		"Put or call flag"},
 	{"-h, --help",
 		"This help text"},
-	{ NULL , NULL }
+	{ NULL, NULL }
 };
 
 
@@ -71,7 +72,7 @@ int print_help(void)
 }
 
 
-char* read_type(struct Option opt)
+char *read_type(struct Option opt)
 {
 	return (opt.type == 1) ? "Call" : "Put";
 }
@@ -85,9 +86,6 @@ int main(int argc, char *argv[])
 	struct tm value, expiry;
 	struct Option bs_opt, mc_opt;
 
-	extern char *optarg;
-	extern int getopt_long();
-
 	memset(&expiry, 0, sizeof(expiry));
 	memset(&value, 0, sizeof(value));
 
@@ -95,46 +93,46 @@ int main(int argc, char *argv[])
 
 	while ((opt = getopt_long(argc, argv, "s:k:r:v:d:e:N:cph", long_options, &option_index)) != -1) {
 		switch (opt) {
-			case 's':
-				if (sscanf(optarg, "%lf", &spot) == EOF) {
-					return 1;
-				};
-				break;
-			case 'k': /* strike */
-				if (sscanf(optarg, "%lf", &strike) == EOF) {
-					return 1;
-				};
-				break;
-			case 'r': /* risk-free rate */
-				if (sscanf(optarg, "%lf.", &rfr) == EOF) {
-					return 1;
-				};
-				break;
-			case 'v': /* implied volatility */
-				if (sscanf(optarg, "%lf", &vol) == EOF) {
-					return 1;
-				};
-				break;
-			case 'e': /* expiry date, must be YYYY-MM-DD */
-				strptime(optarg, "%Y-%m-%d", &expiry);
-				break;
-			case 'd': /* valuation date, must be YYYY-MM-DD */
-				strptime(optarg, "%Y-%m-%d", &value);
-				break;
-			case 'N': /* number of simulations */
-				if (sscanf(optarg, "%lf", &sims) == EOF) {
-					return 1;
-				};
-				break;
-			case 'c': /* set as call */
-				type = 1;
-				break;
-			case 'p': /* set as put */
-				type = -1;
-				break;
-			case 'h': /* print help*/
-				print_help();
-				return 0;
+		case 's':
+			if (sscanf(optarg, "%lf", &spot) == EOF) {
+				return 1;
+			};
+			break;
+		case 'k': /* strike */
+			if (sscanf(optarg, "%lf", &strike) == EOF) {
+				return 1;
+			};
+			break;
+		case 'r': /* risk-free rate */
+			if (sscanf(optarg, "%lf.", &rfr) == EOF) {
+				return 1;
+			};
+			break;
+		case 'v': /* implied volatility */
+			if (sscanf(optarg, "%lf", &vol) == EOF) {
+				return 1;
+			};
+			break;
+		case 'e': /* expiry date, must be YYYY-MM-DD */
+			strptime(optarg, "%Y-%m-%d", &expiry);
+			break;
+		case 'd': /* valuation date, must be YYYY-MM-DD */
+			strptime(optarg, "%Y-%m-%d", &value);
+			break;
+		case 'N': /* number of simulations */
+			if (sscanf(optarg, "%lf", &sims) == EOF) {
+				return 1;
+			};
+			break;
+		case 'c': /* set as call */
+			type = 1;
+			break;
+		case 'p': /* set as put */
+			type = -1;
+			break;
+		case 'h': /* print help */
+			print_help();
+			return 0;
 		}
 	}
 	if (spot == 0 || strike == 0 || rfr == 0 || vol == 0) {
@@ -156,7 +154,7 @@ int main(int argc, char *argv[])
 	bsm(&bs_opt);
 	gbm(&mc_opt);
 
-	setlocale(LC_ALL,"");
+	setlocale(LC_ALL, "");
 	printf(
 		"\nValuation date: %s\n\n"
 		"	              | BS Analytic | BS Monte Carlo |\n"

src/utils.c

@@ -35,11 +35,11 @@ double normalpdf(double z)
 }
 
 
-double gaussrand()
+double gaussrand(void)
 {
 	/* Marsaglia and Bray, ``A Convenient Method for Generating Normal Variables'' */
 	static double V1, V2, S;
-	static int phase = 0;
+	static int phase;
 	double X;
 
 	if (phase == 0) {

src/utils.h

@@ -1,13 +1,11 @@
 #ifndef UTILS_H
 #define UTILS_H
 
-void srand(unsigned int seed);
-
 double normalcdf(double z);
 
 double normalpdf(double z);
 
-double gaussrand();
+double gaussrand(void);
 
 struct Option {
 	/* option details */