kevindkeogh/opt-pricer
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Style cleanup, add comments

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This commit is contained in:
Kevin Keogh
2017-07-31 00:05:43 -04:00
parent 0ec0e69bfe
commit 186e8e40e9
5 changed files with 82 additions and 66 deletions
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90
src/opt-pricer.c
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@@ -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"