Style cleanup, add comments

src/gbm_mc.c

@@ -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;
@@ -38,7 +40,8 @@ void *run_simulations(void *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);
@@ -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);
+
+	/* 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];
@@ -145,6 +159,7 @@ 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;
 		opt->fv    += result->fv / 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>
@@ -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));
 

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 */