kevindkeogh/opt-pricer
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Cleanup, updated README

Browse Source
This commit is contained in:
Kevin Keogh
2017-08-13 23:16:01 -04:00
parent 095d6643d8
commit fdaa472888
4 changed files with 28 additions and 43 deletions
Download Patch File Download Diff File Expand all files Collapse all files

28
README
View File

@@ -2,7 +2,7 @@ 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. Note that the code runs
multi-threaded.
multi-threaded and the random numbers are a sobol sequence.
To install:
$ git clone https://github.com/kevindkeogh/opt-pricer.git
@@ -29,12 +29,12 @@ To install:
|Risk-free: | 3.00% | 3.00% |
|Implied Vol:| 20.00% | 20.00% |
---------------------------------------------
|Fair value: | 11.8866 | 11.8941 |
|Delta: | 0.6202 | 0.6206 |
|Gamma: | 0.0253 | 0.0134 |
|Vega: | 0.4660 | 0.4668 |
|Theta: | -4.6138 | -4.6235 |
|Rho: | 0.7513 | 0.7699 |
|Fair value: | 11.8866 | 11.8866 |
|Delta: | 0.6202 | 0.6202 |
|Gamma: | 0.0253 | 0.0157 |
|Vega: | 0.4660 | 0.4660 |
|Theta: | -4.6138 | -4.6154 |
|Rho: | 0.7513 | 0.7630 |
|Simulations:| | 100,000,000 |
---------------------------------------------
@@ -42,7 +42,15 @@ To install:
Recommended number of simulations is 100,000,000 for Gamma convergence, the
other Greeks converge by 1,000,000.
LICENSE:
My code, which comprises most of the routine functionality, is MIT.
There are two functions,
i8_sobol_generate - generate sobol sequence
r8_normal_01_cdf_inverse - calculate inverse normal cdf
which are LGPL. The Makefile compiles them as a separate shared object
and dynamically links them. The files are included (with minor
adjustments to make it compile) in src.
TODO:
1. Find a C implementation for Sobol sequence so that Gamma convergence
is faster
2. Tests...
1. Tests...
2. Update windows cross-compilation, currently broken