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
src/opt-pricer.c
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@@ -8,6 +8,7 @@
#include "strptime.h"
#endif
#include <locale.h>
#include <stdio.h>
#include <string.h>
#include <time.h>
@@ -70,6 +71,12 @@ int print_help(void)
}
char* read_type(struct Option opt)
{
return (opt.type == 1) ? "Call" : "Put";
}
int main(int argc, char *argv[])
{
double spot = 0, strike = 0, rfr = 0, vol = 0, sims = 1000;
@@ -158,41 +165,42 @@ int main(int argc, char *argv[])
strftime(value_date, 11, "%Y-%m-%d", &value);
bsm(&bs_opt);
gbm(&mc_opt);
setlocale(LC_ALL,"");
printf(
"\nValuation date: %s\n\n"
" | BS Analytic | BS Monte Carlo |\n"
" ---------------------------------------------\n"
" |Type: | %10.1i | %13.1i |\n"
" |Type: | %10s | %13s |\n"
" |Spot: | %10.2f | %13.2f |\n"
" |Expiry: | %s | %s |\n"
" |Strike: | %10.2f | %13.2f |\n"
" |Risk-free: | %10.2f%% | %13.2f%% |\n"
" |Implied Vol:| %10.2f%% | %13.2f%% |\n"
/*
" |sims: | %4.2f| %4.2f|\n"
" |exp: | %4.2s| %4.2f|\n"
*/
" ---------------------------------------------\n"
" |Fair value: | %8.4f | %11.4f |\n"
" |Delta: | %8.4f | %11.4f |\n"
" |Vega: | %8.4f | %11.4f |\n"
" |Theta: | %8.4f | %11.4f |\n"
" |Rho: | %8.4f | %11.4f |\n",
" |Gamma: | %8.4f | %11.4f |\n",
value_date,
bs_opt.type, mc_opt.type,
read_type(bs_opt), read_type(mc_opt),
bs_opt.spot, mc_opt.spot,
expiry_date, expiry_date,
bs_opt.strike, mc_opt.strike,
bs_opt.rfr*100, mc_opt.rfr*100,
bs_opt.vol*100, mc_opt.vol*100,
bs_opt.fv, mc_opt.fv,
bs_opt.delta, mc_opt.delta,
bs_opt.gamma, mc_opt.gamma);
printf(
" |Vega: | %8.4f | %11.4f |\n"
" |Theta: | %8.4f | %11.4f |\n"
" |Rho: | %8.4f | %11.4f |\n"
" |Simulations:| | %'11ld |\n"
" ---------------------------------------------\n\n",
bs_opt.vega, mc_opt.vega,
bs_opt.theta, mc_opt.theta,
bs_opt.rho, mc_opt.rho);
printf(
" ---------------------------------------------\n\n"
);
/*
printf("%s", buffer1);
printf("%s", buffer2);
*/
bs_opt.rho, mc_opt.rho,
mc_opt.sims);
return 0;
}