move the math functions to a separate file; remove dependency on GSL due to license
This commit is contained in:
@@ -1,15 +1,11 @@
|
||||
#define _XOPEN_SOURCE
|
||||
|
||||
#include "black_scholes.h"
|
||||
#include "utils.h"
|
||||
#include <cblas.h>
|
||||
#include <math.h>
|
||||
#include <time.h>
|
||||
|
||||
double normalcdf(double value)
|
||||
{
|
||||
return 0.5 * erfc(-value * M_SQRT1_2);
|
||||
}
|
||||
|
||||
double bsm(double spot, double rfr, double vol, double strike,
|
||||
struct tm expiry, struct tm value, int type)
|
||||
{
|
||||
|
||||
Reference in New Issue
Block a user