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
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
other Greeks converge by 1,000,000.

10
src/opt-pricer.c
View File

@@ -151,16 +151,6 @@ int main(int argc, char *argv[])
bs_opt.type = mc_opt.type = type;
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(value_date, 11, "%Y-%m-%d", &value);
bsm(&bs_opt);