Initial commit

2017-04-02 15:35:28 -04:00
commit 99b350a852
6 changed files with 203 additions and 0 deletions
--- a/src/gbm_mc.h
+++ b/src/gbm_mc.h
@@ -0,0 +1,8 @@
+#ifndef GBM_MC
+#define GBM_MC
+
+double gbm_simulation(double spot, double rfr, double vol, double tte, double rand);
+
+double gbm(double spot, double rfr, double vol, double strike, struct tm expiry, struct tm value, int type, int sims);
+
+#endif