Minor refactoring

R/Malliavin_Geometric_Asian_Greeks.R

@@ -95,11 +95,7 @@ Malliavin_Geometric_Asian_Greeks <- function(
  nrow = length(vectorized_param),
  dimnames = list(NULL, greek)) * NA
 
- ## the payoff function ##
-
- ## TODO: comment
- payoff_name <- payoff
-
+ # the payoff function
  if (inherits(payoff, "function")) {
  print("custom payoff")
  } else if (payoff == "call") {
@@ -118,8 +114,7 @@ Malliavin_Geometric_Asian_Greeks <- function(
  }
  }
 
- ## the seed is set
-
+ # the seed is set
  if (!is.na(seed)) {
  dqset.seed(seed)
  }
@@ -144,11 +139,10 @@ Malliavin_Geometric_Asian_Greeks <- function(
 
  X_T <- X[, steps + 1]
 
- # TODO: comment
+ # the calculation of I_W, the integral \int_0^T W_t dt
  I_W <- calc_I(W, steps, dt)
 
- ### the calculation of I_{(n)}, the integral \int_0^T t^n X_t dt ###
-
+ # the calculation of I_{(n)}, the integral \int_0^T t^n X_t dt
  I_0 <- calc_I(X, steps, dt)
 
  if (length(intersect(greek, c("delta", "theta", "vega", "gamma")))) {
@@ -164,11 +158,11 @@ Malliavin_Geometric_Asian_Greeks <- function(
 
  assign(param, vectorized_param[i])
 
- # TODO: comment
+ # the calculation of the geometric average of X
  I_0_geom <-
  exp(calc_I(log(initial_price * X), steps, dt) / time_to_maturity)
 
- #TODO: comment
+ # the value of the greek, given the Malliavin weight
  E_I_0_geom <- function(weight) {
  return(exp(-(r - dividend_yield) * time_to_maturity) *
  mean(payoff(I_0_geom, exercise_price) * weight))