move the math functions to a separate file; remove dependency on GSL due to license

This commit is contained in:
Kevin Keogh
2017-04-02 21:11:51 -04:00
parent d793ecb2fe
commit a8a96ba17a
6 changed files with 76 additions and 26 deletions

View File

@@ -1,6 +1,8 @@
#ifndef GBM_MC
#define GBM_MC
#include <time.h>
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);