tst_alternative_formulas.cc

Financial Recipes

// file tst_alternative_formulas.cc
#include <iostream>
using namespace std;

void test_merton() {
    double S=100;
    double X=100;
    double r=0.05;
    double sigma=0.2;
    double time = 1;
    double lambda = 0.01;
    double kappa = 0.01;
    double delta = 0.01;
    cout << " Merton's jump diffusion,  Call price = "  
	 << option_price_call_merton_jump_diffusion(S,X,r,sigma,time,
						    lambda,kappa,delta) 
	 << endl;
};

void test_alternative_formulas() {
    cout << "TESTING alternative formulas" << endl;
    test_merton();
    cout << "DONE TESTING alternative formulas" << endl;
};