From d793ecb2feac4ab02e0ff51c07f09c310354f0f4 Mon Sep 17 00:00:00 2001
From: Kevin Keogh <kevin.d.keogh@gmail.com>
Date: Sun, 2 Apr 2017 18:50:01 -0400
Subject: [PATCH] merge 2 loops

---
 src/black_scholes.c |  3 ---
 src/gbm_mc.c        | 19 ++++++++-----------
 2 files changed, 8 insertions(+), 14 deletions(-)

diff --git a/src/black_scholes.c b/src/black_scholes.c
index 20ec751..32b1c3d 100644
--- a/src/black_scholes.c
+++ b/src/black_scholes.c
@@ -3,10 +3,7 @@
 #include "black_scholes.h"
 #include <cblas.h>
 #include <math.h>
-#include <stdio.h>
-#include <string.h>
 #include <time.h>
-#include <unistd.h>
 
 double normalcdf(double value)
 {
diff --git a/src/gbm_mc.c b/src/gbm_mc.c
index 1bce48c..1bbfe37 100644
--- a/src/gbm_mc.c
+++ b/src/gbm_mc.c
@@ -10,6 +10,7 @@
 
 double gbm_simulation(double spot, double rfr, double vol, double tte, double rand)
 {
+	/* S_T = S_0e^{[r-\frac{\sigma^2}{2}]t + \sigma\sqrt{t}\xi_i} */
 	double drift, stoch;
 	drift = (rfr - pow(vol, 2) / 2) * tte;
 	stoch = vol * pow(tte, 0.5) * rand;
@@ -17,39 +18,35 @@ double gbm_simulation(double spot, double rfr, double vol, double tte, double ra
 
 }
 
-double gbm(double spot, double rfr, double vol, double strike, struct tm expiry, struct tm value, int type, int sims)
+double gbm(double spot, double rfr, double vol, double strike, struct tm expiry,
+		struct tm value, int type, int sims)
 {
 	const gsl_rng_type *T;
+	double tte, expiry_date, value_date, level, price, rand;
+	double *results;
 	gsl_rng *r;
-	double tte, expiry_date, value_date, level, price;
-	double *rands, *results;
 	int i;
 
-	rands = (double *)malloc(sizeof(double) * sims);
 	results = (double *)malloc(sizeof(double) * sims);
 
 	expiry_date = mktime(&expiry);
 	value_date = mktime(&value);
 	tte = difftime(expiry_date, value_date) / (60 * 60 * 24 * 365);
 
-	/* get array of normal random numbers */
+	/* GSL RNG setup */
 	gsl_rng_env_setup();
 	T = gsl_rng_default;
 	r = gsl_rng_alloc(T);
 
 	for (i=0; i<sims; i++) {
-		rands[i] = gsl_ran_gaussian(r, 1);
-	}
-
-	for (i=0; i<sims; i++) {
-		level = gbm_simulation(spot, rfr, vol, tte, rands[i]);
+		rand = gsl_ran_gaussian(r, 1);
+		level = gbm_simulation(spot, rfr, vol, tte, rand);
 		results[i] = max((level - strike) * type, 0);
 	}
 
 	price = gsl_stats_mean(results, 1, sims) * 1 / pow((1 + rfr), tte);
 
 	gsl_rng_free(r);
-	free(rands);
 	free(results);
 	return price;
 }