kevindkeogh/opt-pricer
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Merge branch 'master' of https://github.com/kevindkeogh/opt-pricer

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This commit is contained in:
Kevin Keogh
2017-04-17 23:52:48 -04:00
parent 0985dedd8f dac191c251
commit 806de6c597
2 changed files with 18 additions and 13 deletions
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2
src/gbm_mc.c
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@@ -9,7 +9,9 @@
double gbm_simulation(double spot, double rfr, double vol, double tte, double rand) double gbm_simulation(double spot, double rfr, double vol, double tte, double rand)
{ {
/* S_T = S_0e^{[r-\frac{\sigma^2}{2}]t + \sigma\sqrt{t}\xi_i} */ /* S_T = S_0e^{[r-\frac{\sigma^2}{2}]t + \sigma\sqrt{t}\xi_i} */
double drift, stoch; double drift, stoch;
drift = (rfr - pow(vol, 2) / 2) * tte; drift = (rfr - pow(vol, 2) / 2) * tte;
stoch = vol * pow(tte, 0.5) * rand; stoch = vol * pow(tte, 0.5) * rand;
return spot * exp(drift + stoch); return spot * exp(drift + stoch);

29
src/opt-pricer.c
View File

@@ -15,46 +15,49 @@ int main(int argc, char *argv[])
int opt, type = 0; int opt, type = 0;
struct tm expiry, value; struct tm expiry, value;
extern char *optarg;
extern int getopt();
memset(&expiry, 0, sizeof(expiry)); memset(&expiry, 0, sizeof(expiry));
memset(&value, 0, sizeof(value)); memset(&value, 0, sizeof(value));
while ((opt = getopt(argc, argv, "s:k:r:v:d:e:n:cp")) != -1) { while ((opt = getopt(argc, argv, "s:k:r:v:d:e:n:cp")) != -1) {
switch (opt) { switch (opt) {
case 's': case 's': /* spot */
if (sscanf(optarg, "%lf", &spot) == EOF) { if (sscanf(optarg, "%lf", &spot) == EOF) {
return 1; return 1;
}; };
break; break;
case 'k': case 'k': /* strike */
if (sscanf(optarg, "%lf", &strike) == EOF) { if (sscanf(optarg, "%lf", &strike) == EOF) {
return 1; return 1;
}; };
break; break;
case 'r': case 'r': /* risk-free rate */
if (sscanf(optarg, "%lf.", &rfr) == EOF) { if (sscanf(optarg, "%lf.", &rfr) == EOF) {
return 1; return 1;
}; };
break; break;
case 'v': case 'v': /* implied volatility */
if (sscanf(optarg, "%lf", &vol) == EOF) { if (sscanf(optarg, "%lf", &vol) == EOF) {
return 1; return 1;
}; };
break; break;
case 'n': 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) { if (sscanf(optarg, "%lf", &sims) == EOF) {
return 1; return 1;
}; };
break; break;
case 'e': case 'c': /* set as call */
strptime(optarg, "%Y-%m-%d", &expiry);
break;
case 'd':
strptime(optarg, "%Y-%m-%d", &value);
break;
case 'c':
type = 1; type = 1;
break; break;
case 'p': case 'p': /* set as put */
type = -1; type = -1;
break; break;
} }