début exemple sur options asiatiques

2 files changed, 64 insertions, 0 deletions

diff --git a/Makefile b/Makefile
index bb7cdc6..3e093eb 100644
--- a/Makefile
+++ b/Makefile
@@ -17,5 +17,8 @@ test: test.o mt19937.o
 rqmc: rqmc.o mt19937.o
 	$(CXX) $^ -o $@ $(GSL_FLAGS) 
 
+option: option.o mt19937.o
+	$(CXX) $^ -o $@ $(GSL_FLAGS) 
+
 clean:
 	-$(RM) -f *.o test stratified_sampling main
diff --git a/option.cpp b/option.cpp
new file mode 100644
index 0000000..5caf23f
--- /dev/null
+++ b/option.cpp
@@ -0,0 +1,61 @@
+#include <vector>
+#include <gsl/gsl_cdf.h>
+#include "var_alea.hpp"
+#include <algorithm>
+#include <iostream>
+
+double r;
+double T;
+double S0;
+double V;
+int d;
+
+std::vector<double> path_gen(std::vector<double> X){
+    d=X.size();
+    std::vector<double> S(d);
+    S[0]= S0;
+    for(int i=1;i<d;i++){
+        S[i]=S[i-1]*exp((r-V*V/2)*(T/d)+V*sqrt(T/d)*X[i]);
+    }
+    return S;
+}
+
+double mean_monte_carl(double r, double T, double S0, double V, int N, int d){
+    double moyenne=0;
+    gaussian G;
+    std::vector<double> S(d);
+    std::vector<double> X(d);
+    for(int i=1; i<N; i++){
+        for(int j=1;j<d;i++){
+            X[i]=G();
+        }
+        S=path_gen(X);
+        moyenne+=std::accumulate(S.begin(), S.end(), 0 );
+    }
+    return moyenne/N;
+}
+
+int main(){
+    init_alea(0);
+    double r=0.05;
+    double T=1.0;
+    double S0=50.0;
+    double V=0.1;
+    int d=16;
+    int N=1000000;
+    
+    
+    double moyenne = mean_monte_carl(r, T, S0, V, N, d);
+    std::cout<<moyenne<<std::endl;
+
+    
+    return 0;
+}
+        
+        
+        
+        
+    
+
+        
+