diff options
| -rw-r--r-- | src/main.cpp | 19 | ||||
| -rw-r--r-- | src/stratified_sampling.hpp | 5 |
2 files changed, 18 insertions, 6 deletions
diff --git a/src/main.cpp b/src/main.cpp index 88f3737..fb6df08 100644 --- a/src/main.cpp +++ b/src/main.cpp @@ -60,10 +60,21 @@ x = 1.64*S.estimator().second; vector<double> p(100, 0.01); asian_option A(0.05, 1.0, 50, 0.1, d, 45); f_mu G(mu,A); - multi_gaussian_truncated MG(q[50],q[51], u); - for(int i=0; i<10; i++){ - std::cout<<G(MG())<<std::endl; - } + std::vector<compose_t <f_mu, multi_gaussian_truncated> > X; + X.push_back(compose(G, multi_gaussian_truncated(GSL_NEGINF,q[0], u))); + for(int i=1; i<100; i++) { + X.push_back(compose(G, multi_gaussian_truncated(q[i-1],q[i], u))); + } + for(int i=0; i<100; i=i+10){ + std::cout<<X[i]()<<endl; + } + stratified_sampling<compose_t <f_mu, multi_gaussian_truncated> > S(p, X); + S.draw(1000); + cout<<"l'estimateur de la moyenne est :"<<S.estimator().first<<endl; + //~ compose_t <f_mu, multi_gaussian_truncated> X = compose(G,MG); + //~ for(int i=0; i<10; i++){ + //~ std::cout<<X()<<std::endl; + //~ } } diff --git a/src/stratified_sampling.hpp b/src/stratified_sampling.hpp index ed53b6d..c04369e 100644 --- a/src/stratified_sampling.hpp +++ b/src/stratified_sampling.hpp @@ -141,8 +141,9 @@ void stratified_sampling<L>::draw(int N) { m=0; s=0; for(int j=0;j<M[i];j++){ - m=m+X[i](); - s=s+X[i].current()*X[i].current(); + double temp = X[i](); + m=m+temp; + s=s+temp*temp; } oldmean=mean[i]; mean[i]=(mean[i]*cumM[i]+m)/(cumM[i]+M[i]); |