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Header.hpp
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Header.hpp
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#include <cmath>
#include <ctime>
#include <vector>
#include <iterator>
#ifndef _MAFIN_H
#define _MAFIN_H
typedef unsigned char boolean;
#define MAX(A,B) ( (A) > (B) ? (A):(B) )
#define MIN(A,B) ( (A) < (B) ? (A):(B) )
#define SQR(X) ((X)*(X))
/**
@brief Thomas algorithm for tridiagonal systems Ax=b
@param low lower diagonal of A
@param diag diagonal of A
@param up upper diagonal of A
*/
std::vector<double> solve_tridiag(const std::vector<double>& low, const std::vector<double>& diag, const
std::vector<double>& up, std::vector<double>& rightside_result);
namespace finum
{
double Price_option(int type, double s0, double Maturity, double Strike, double r, double divid, double sigma, int nTime, int nSpace);
double delta(int type, double s0, double Maturity, double Strike, double r, double divid, double sigma, int nTime, int nSpace, double delta_S);
double gamma(int optiontype, double S, double Maturity, double Strike, double r, double divid, double sigma, int nTime, int nSpace, double delta_S);
double theta(int optiontype, double S, double Maturity, double Strike, double r, double divid, double sigma, int nTime, int nSpace, double delta_t);
double vega(int optiontype, double S, double Maturity, double Strike, double r, double divid, double sigma, int nTime, int nSpace, double delta_v);
double rho(int optiontype, double S, double Maturity, double Strike, double r, double divid, double sigma, int nTime, int nSpace, double delta_r);
}
/*#define int_dll __declspec(dllexport) int __stdcall
#define void_dll __declspec(dllexport) void __stdcall
#define double_dll __declspec(dllexport) double __stdcall
extern "C" {
int_dll price_option(int type,double s0, double Maturity,
double Strike, double r, double divid, double sigma,
double *ptprice, double *ptdelta, double *ptgamma, int nTime, int nSpace) {
return finum::Price_option(type,s0, Maturity, Strike, r,
divid, sigma, ptprice, ptdelta,
ptgamma, nTime, nSpace);
}
//int_dll main(){return finum::main() ;}
}*/
#endif