réorganisation

2 files changed, 66 insertions, 0 deletions

diff --git a/src/opti.hpp b/src/opti.hpp
new file mode 100644
index 0000000..e12d544
--- /dev/null
+++ b/src/opti.hpp
@@ -0,0 +1,13 @@
+#include <vector>
+#include <nlopt.hpp>
+#include <cmath>
+#include <algorithm>
+#include <iostream>
+
+double pos (double x);
+
+double f (const std::vector<double> &X, std::vector<double> &grad, void *params);
+
+std::vector<double> argmax(double r, double T, double S0, double V, double K, int d);
+
+
diff --git a/src/option.hpp b/src/option.hpp
new file mode 100644
index 0000000..d104bd6
--- /dev/null
+++ b/src/option.hpp
@@ -0,0 +1,53 @@
+#include "rqmc.hpp"
+
+double frac_part(double x);
+
+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, 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;
+    };
+