From 0985dedd8ffb45019f4e92b0dcc787298ed65cb3 Mon Sep 17 00:00:00 2001 From: Kevin Keogh Date: Mon, 17 Apr 2017 23:52:36 -0400 Subject: [PATCH 1/3] cleanup --- src/gbm_mc.c | 1 - src/utils.c | 2 -- 2 files changed, 3 deletions(-) diff --git a/src/gbm_mc.c b/src/gbm_mc.c index cdcadd4..1447de7 100644 --- a/src/gbm_mc.c +++ b/src/gbm_mc.c @@ -13,7 +13,6 @@ double gbm_simulation(double spot, double rfr, double vol, double tte, double ra drift = (rfr - pow(vol, 2) / 2) * tte; stoch = vol * pow(tte, 0.5) * rand; return spot * exp(drift + stoch); - } double gbm(double spot, double rfr, double vol, double strike, struct tm expiry, diff --git a/src/utils.c b/src/utils.c index aa188c6..716cea3 100644 --- a/src/utils.c +++ b/src/utils.c @@ -1,5 +1,3 @@ -#define M_SQRT1_2 0.707106781186547524401 - #include #include From 5081c3c2b13bd45a71afb51f57291c87aab66289 Mon Sep 17 00:00:00 2001 From: Kevin Date: Sun, 16 Jul 2017 12:19:58 -0400 Subject: [PATCH 2/3] variable name change --- src/utils.h | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/src/utils.h b/src/utils.h index cdc2f14..48363a7 100644 --- a/src/utils.h +++ b/src/utils.h @@ -1,7 +1,7 @@ #ifndef UTILS_H #define UTILS_H -double normalcdf(double z); +double normalcdf(double x); double gaussrand(); From 1d71c23f03db30d4862afeaac387f8de497f823f Mon Sep 17 00:00:00 2001 From: Kevin Date: Sun, 16 Jul 2017 20:27:23 -0400 Subject: [PATCH 3/3] Revert "variable name change" This reverts commit 5081c3c2b13bd45a71afb51f57291c87aab66289. --- src/utils.h | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/src/utils.h b/src/utils.h index 48363a7..cdc2f14 100644 --- a/src/utils.h +++ b/src/utils.h @@ -1,7 +1,7 @@ #ifndef UTILS_H #define UTILS_H -double normalcdf(double x); +double normalcdf(double z); double gaussrand();