kevindkeogh/opt-pricer
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Remove old commented code

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Kevin Keogh
2017-07-27 23:04:05 -04:00
parent a28df367bf
commit ef0c6df011
2 changed files with 2 additions and 12 deletions
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4
README
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@@ -1,7 +1,7 @@
Demonstration of a black-scholes model in C Demonstration of a Black-Scholes Model in C
Note that there are two models, a pure Monte Carlo implementation Note that there are two models, a pure Monte Carlo implementation
and the closed form black scholes equation. and the closed form Black-Scholes equation.
Recommended number of simulations is 100,000,000 for Gamma convergence, the Recommended number of simulations is 100,000,000 for Gamma convergence, the
other Greeks converge by 1,000,000. other Greeks converge by 1,000,000.

10
src/opt-pricer.c
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@@ -151,16 +151,6 @@ int main(int argc, char *argv[])
bs_opt.type = mc_opt.type = type; bs_opt.type = mc_opt.type = type;
mc_opt.sims = sims; mc_opt.sims = sims;
/*
mc_opt.spot = spot;
mc_opt.strike = strike;
mc_opt.expiry_date = &expiry;
mc_opt.value_date = &value;
mc_opt.rfr = rfr;
mc_opt.vol = vol;
mc_opt.type = type;
*/
strftime(expiry_date, 11, "%Y-%m-%d", &expiry); strftime(expiry_date, 11, "%Y-%m-%d", &expiry);
strftime(value_date, 11, "%Y-%m-%d", &value); strftime(value_date, 11, "%Y-%m-%d", &value);
bsm(&bs_opt); bsm(&bs_opt);