nettoyage du dépôt

1 files changed, 0 insertions, 92 deletions

diff --git a/option.cpp b/option.cpp
deleted file mode 100644
index 0e5a56c..0000000
--- a/option.cpp
+++ /dev/null
@@ -1,92 +0,0 @@
-#include <algorithm>
-#include <iostream>
-#include "rqmc.hpp"
-#include "p_adic.o"
-
-double frac_part(double x){
-    return x - floor(x);
-}
-
-double pos (double x){
-    return x>0?x:0;
-}
-
-struct asian_option : public std::unary_function<std::vector<double>, double>
-{
-    asian_option(double r, double T, double S0, double V, int d, double K)
-        : r(r), T(T), S0(S0), V(V), d(d), K(K) {};
-    
-    double operator()(std::vector<double> X) const {
-        std::vector<double> S(d);
-        S[0]= S0*exp((r-V*V/2)*(T/d)+V*sqrt(T/d)*X[0]);
-        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]);
-        }
-        double temp = std::accumulate(S.begin(), S.end(), 0.)/d;
-        return exp(-r*T)*pos(temp-K);
-        };
-        
-    private:
-        double r;
-        double T;
-        double S0;
-        double V;
-        int d;
-        double K;
-    };
-        
-        
-
-
-template <typename Fct, typename LDS>
-struct quasi_option : public generator<typename Fct::result_type>
-{
-    quasi_option(int n, int d, Fct payoff) : n(n), d(d), payoff(payoff), G(d) {};
-        
-    typename Fct::result_type operator()() {
-        double sum =0;
-        for(int i=0; i<n; i++){
-            sum += payoff(G());
-            
-        }
-        return sum/n;
-    };
-    
-    private:
-        int n, d;
-        Fct payoff;
-        quasi_gaussian<LDS> G;
-    };
-
-int main(){
-    init_alea(1);
-    asian_option A(0.05, 1.0, 50.0, 0.1, 16, 45);
-    int N= 10000;
-    
-    int d =16; 
-
-    
-    std::vector<double> result(3);
-    result = monte_carlo(100, quasi_option<asian_option, sobol> (N, d, A));
-    for(int i =0; i<3; i++){
-        std::cout<<result[i]<<std::endl;
-    }
-    
-    std::vector<double> result2(3);
-    result = monte_carlo(100, quasi_option<asian_option, halton> (N, d, A));
-    for(int i =0; i<3; i++){
-        std::cout<<result[i]<<std::endl;
-    }
-
-
-    
-    return 0;
-}
-        
-        
-        
-        
-    
-
-        
-