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authorGuillaume Horel <guillaume.horel@serenitascapital.com>2016-04-21 15:23:49 -0400
committerGuillaume Horel <guillaume.horel@serenitascapital.com>2016-04-21 15:23:49 -0400
commit8c9f217887de0802d6b8dfa1f872ec3cf8797d45 (patch)
tree9f938aa55b500760c3410965e4606ca134e4df6a /src/opti.cpp
parent3d2d3a26c08d4931c438280a989372bc0056f289 (diff)
downloadprojet_C++-8c9f217887de0802d6b8dfa1f872ec3cf8797d45.tar.gz
tout marche j'espère
Diffstat (limited to 'src/opti.cpp')
-rw-r--r--src/opti.cpp11
1 files changed, 3 insertions, 8 deletions
diff --git a/src/opti.cpp b/src/opti.cpp
index efe5643..2824a69 100644
--- a/src/opti.cpp
+++ b/src/opti.cpp
@@ -18,24 +18,19 @@ double f (const std::vector<double> &X, std::vector<double> &grad, void *params)
norm+=X[i]*X[i];
}
asian_option A(p->r, p->T, p->S0, p->V, p->K, p->call);
- return log(A(X)) - 0.5*norm;
+ return log(A(X)+1e-10) - 0.5*norm;//on rajoute 1e-10 pour être sur que le log soit défini
};
-
-
-
std::vector<double> argmax(double r, double T, double S0, double V, double K, int d, bool call){
option_params params = {.r = r, .T = T, .S0 = S0, .V=V, .K=K, .call=call};
nlopt::opt opt(nlopt::LN_COBYLA, d);
-
opt.set_max_objective(f, &params);
-
opt.set_xtol_rel(1e-4);
- std::vector<double> x(d,1);
- std::vector<double> g(0);
+ double x0 = call? 1: -1;
+ std::vector<double> x(d, x0);
double maxf;
nlopt::result result = opt.optimize(x, maxf);