@@ -8,31 +8,27 @@ include("pricing_methods.jl")
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include (" delta_methods.jl" )
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""" Example code with benchmarks"""
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- function example ()
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- # Define market data and payoff
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- market_inputs = BlackScholesInputs (0.01 , 1 , 0.4 )
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- payoff = VanillaEuropeanCall (1 , 1 )
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- pricer = Pricer (market_inputs, payoff, BlackScholesMethod ())
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- println (pricer ())
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- # Analytical Delta
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- analytical_delta_calc = DeltaCalculator (pricer, BlackScholesAnalyticalDelta ())
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- println (analytical_delta_calc ())
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-
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- # AD Delta
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- ad_delta_calc = DeltaCalculator (pricer, ADDelta ())
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- println (ad_delta_calc ())
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-
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- println (" Benchmarking pricer:" )
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- @btime pricer ()
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-
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- # Run benchmarks
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- println (" Benchmarking Analytical Delta:" )
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- @btime analytical_delta_calc ()
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-
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- println (" Benchmarking AD Delta:" )
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- @btime ad_delta_calc ()
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- end
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-
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- example ()
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+ # Define market data and payoff
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+ market_inputs = BlackScholesInputs (0.01 , 1 , 0.4 )
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+ payoff = VanillaEuropeanCall (1 , 1 )
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+ pricer = Pricer (market_inputs, payoff, BlackScholesMethod ())
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+ println (pricer ())
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+ # Analytical Delta
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+ analytical_delta_calc = DeltaCalculator (pricer, BlackScholesAnalyticalDelta ())
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+ println (analytical_delta_calc ())
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+
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+ # AD Delta
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+ ad_delta_calc = DeltaCalculator (pricer, ADDelta ())
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+ println (ad_delta_calc ())
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+
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+ # println("Benchmarking pricer:")
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+ @btime pricer ()
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+
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+ # Run benchmarks
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+ println (" Benchmarking Analytical Delta:" )
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+ @btime analytical_delta_calc ()
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+
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+ println (" Benchmarking AD Delta:" )
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+ @btime ad_delta_calc ()
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end
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