cleanup

src/opt-pricer.c

@@ -0,0 +1,78 @@
+#define _XOPEN_SOURCE
+
+#include "black_scholes.h"
+#include "gbm_mc.h"
+
+#include <stdio.h>
+#include <string.h>
+#include <time.h>
+
+int main(int argc, char *argv[])
+{
+	double spot = 0, strike = 0, rfr = 0, vol = 0, sims = 1000;
+	double bs_price, mc_price;
+	char expiry_date[11], buffer[512];
+	int opt, type = 0;
+	struct tm expiry, value;
+
+	memset(&expiry, 0, sizeof(expiry));
+	memset(&value, 0, sizeof(value));
+
+	while ((opt = getopt(argc, argv, "s:k:r:v:d:e:n:cp")) != -1) {
+		switch (opt) {
+		case 's':
+			if (sscanf(optarg, "%lf", &spot) == EOF) {
+				return 1;
+			};
+			break;
+		case 'k':
+			if (sscanf(optarg, "%lf", &strike) == EOF) {
+				return 1;
+			};
+			break;
+		case 'r':
+			if (sscanf(optarg, "%lf.", &rfr) == EOF) {
+				return 1;
+			};
+			break;
+		case 'v':
+			if (sscanf(optarg, "%lf", &vol) == EOF) {
+				return 1;
+			};
+			break;
+		case 'n':
+			if (sscanf(optarg, "%lf", &sims) == EOF) {
+				return 1;
+			};
+			break;
+		case 'e':
+			strptime(optarg, "%Y-%m-%d", &expiry);
+			break;
+		case 'd':
+			strptime(optarg, "%Y-%m-%d", &value);
+			break;
+		case 'c':
+			type = 1;
+			break;
+		case 'p':
+			type = -1;
+			break;
+		}
+	}
+
+	strftime(expiry_date, 11, "%Y-%m-%d", &expiry);
+	bs_price = bsm(spot, rfr, vol, strike, expiry, value, type);
+	mc_price = gbm(spot, rfr, vol, strike, expiry, value, type, sims);
+	sprintf(&buffer[0], "Arguments:\n"
+			"spot: %f\n"
+			"strike: %f\n"
+			"rfr: %f\n"
+			"vol: %f\n"
+			"sims: %f\n"
+			"exp: %s\n"
+			"BS price: %f\n"
+			"MC price: %f\n",
+			spot, strike, rfr, vol, sims, expiry_date, bs_price, mc_price);
+	printf("%s", buffer);
+	return 0;
+}