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| author | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2016-04-20 15:57:52 -0400 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2016-04-20 16:04:17 -0400 |
| commit | 61d99224c2f5cbf0320bf05aca0d2ce15c2d0482 (patch) | |
| tree | bf90ce1b9a98502e1f810015152b1fcfd286b39e /src/option.hpp | |
| parent | 4e723ffa229db059601d3a0c47f6c229652ee208 (diff) | |
| download | projet_C++-61d99224c2f5cbf0320bf05aca0d2ce15c2d0482.tar.gz | |
Répare opti.hpp
Diffstat (limited to 'src/option.hpp')
| -rw-r--r-- | src/option.hpp | 14 |
1 files changed, 6 insertions, 8 deletions
diff --git a/src/option.hpp b/src/option.hpp index 12c1043..387638c 100644 --- a/src/option.hpp +++ b/src/option.hpp @@ -5,11 +5,11 @@ double pos (double x); struct asian_option : public std::unary_function<std::vector<double>, double> { - asian_option(double r, double T, double S0, double V, double K, bool call = true) - : r(r), T(T), S0(S0), V(V), K(K) {}; - - double operator()(std::vector<double> &X) const { - int d= X.size(); + asian_option(double r, double T, double S0, double V, double K, bool call=true) + : r(r), T(T), S0(S0), V(V), K(K), call(call) {}; + + double operator()(const std::vector<double> &X) const { + int d = X.size(); 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++){ @@ -23,7 +23,7 @@ struct asian_option : public std::unary_function<std::vector<double>, double> return exp(-r*T)*pos(K-temp); } }; - + private: double r; double T; @@ -32,5 +32,3 @@ struct asian_option : public std::unary_function<std::vector<double>, double> double K; bool call; }; - - |