Pricing

TODO: Read in parameters for pricing formula from stdinTODO: American options

iex(2)> Pricing.btc
{s: 400.000000,k: 250.000000,r: 0.005000,t: 1.000000,v: 0.700000,d: 0.000000,prices: ["c":178.268061, "p":27.021181]}

12           # this is how many milliseconds the call down to the C binary took
:ok

Installation

If available in Hex, the package can be installed as:

Add pricing to your list of dependencies in mix.exs:
def deps do
```
 [{:pricing, "~> 0.0.1"}]
```
end
Ensure pricing is started before your application:
def application do
```
 [applications: [:pricing]]
```
end

To compile the pricing.c file for now just execute the following on the cygwin terminal, thank

        gcc -Wall -I/usr/local/include -c pricing.c
        g++ -L/usr/local/lib/ pricing.o -lgsl -lgslcblas -lm
        ./a.exe

Expected output:

        Underlier price: 87.500000
           Strike price: 85.000000
         risk free rate: 0.00500
         Time to expiry: 0.04000
             Volatility: 0.06000
          Discount rate: 0.00000

        price call: 2.519551
        price  put: 0.002552