Initial commit

2017-04-02 15:35:28 -04:00
commit 99b350a852
6 changed files with 203 additions and 0 deletions
--- a/src/black_scholes.h
+++ b/src/black_scholes.h
@@ -0,0 +1,14 @@
+#ifndef BLACK_SCHOLES_H_
+#define BLACK_SCHOLES_H_
+
+struct tm;
+
+double gbm(double spot, double rfr, double vol, double strike, struct tm expiry,
+		struct tm value, int type, int sims);
+
+double normalcdf(double value);
+
+double bsm(double spot, double rfr, double vol, double strike, struct tm expiry,
+		struct tm value, int type);
+
+#endif