kevindkeogh/opt-pricer
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Complete all Greek calculations for BS and MC, add README

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This commit is contained in:
Kevin Keogh
2017-07-27 23:01:03 -04:00
parent 785c546ba3
commit a28df367bf
5 changed files with 104 additions and 43 deletions
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42
Makefile
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@@ -1,35 +1,47 @@
CC=gcc
WINDOWS_CC=x86_64-w64-mingw32-gcc
CFLAGS=-Wall -fPIC -O3 -ansi -pedantic-errors
WINDOWS_CFLAGS= -Wall -O3 -ansi -pedantic-errors
LDFLAGS=-lm
PREFIX= /usr/local
opt-pricer : src/opt-pricer.c gbm.o black_scholes.o utils.o
WINDOWS_CC=x86_64-w64-mingw32-gcc
WINDOWS_CFLAGS= -Wall -O3 -ansi -pedantic-errors
WINDOWS_PLATFORM= windows
.DEFAULT_GOAL := build/opt-pricer
build/opt-pricer : src/opt-pricer.c build/depends/linux/gbm.o build/depends/linux/black_scholes.o build/depends/linux/utils.o
@$(CC) $(CFLAGS) $^ $(LDFLAGS) -o $@
gbm.o : src/gbm_mc.c
build/depends/%/gbm.o : src/gbm_mc.c | folders
@$(CC) $(CFLAGS) -c $^ $(LDFLAGS) -o $@
black_scholes.o : src/black_scholes.c
build/depends/%/black_scholes.o : src/black_scholes.c | folders
@$(CC) $(CFLAGS) -c $^ $(LDFLAGS) -o $@
utils.o : src/utils.c
build/depends/%/utils.o : src/utils.c | folders
@$(CC) $(CFLAGS) -c $^ $(LDFLAGS) -o $@
strptime.o : src/strptime.c
build/depends/%/strptime.o : src/strptime.c | folders
@$(CC) $(CFLAGS) -c $^ $(LDFLAGS) -o $@
opt-pricer.exe : CC=$(WINDOWS_CC)
opt-pricer.exe : CFLAGS=$(WINDOWS_CFLAGS)
opt-pricer.exe : src/opt-pricer.c gbm.o black_scholes.o utils.o strptime.o
@$(WINDOWS_CC) $(WINDOWS_CFLAGS) $^ $(LDFLAGS) -o $@
folders:
@mkdir -p build
@mkdir -p build/depends
@mkdir -p build/depends/linux
@mkdir -p build/depends/windows
build/opt-pricer.exe : CC=$(WINDOWS_CC)
build/opt-pricer.exe : CFLAGS=$(WINDOWS_CFLAGS)
build/opt-pricer.exe : src/opt-pricer.c build/depends/windows/gbm.o build/depends/windows/black_scholes.o build/depends/windows/utils.o build/depends/windows/strptime.o
@$(CC) $(CFLAGS) $^ $(LDFLAGS) -o $@
.PHONY: windows
windows: opt-pricer.exe
windows: build/opt-pricer.exe
.PHONY: install
install : opt-pricer
install : build/opt-pricer
@mkdir -p $(DESTDIR)$(PREFIX)/bin
@cp $< $(DESTDIR)$(PREFIX)/bin/opt-pricer
@rm -f $<
@@ -40,4 +52,6 @@ uninstall :
.PHONY: clean
clean :
@rm -f gbm.o black_scholes.o utils.o strptime.o
@rm -rf build
@mkdir build
@mkdir build/depends