diff options
Diffstat (limited to 'option.cpp')
| -rw-r--r-- | option.cpp | 50 |
1 files changed, 48 insertions, 2 deletions
@@ -3,6 +3,7 @@ #include "var_alea.hpp" #include <algorithm> #include <iostream> +#include "low_discrepancy.hpp" template <typename L> @@ -25,6 +26,10 @@ double pos (double x){ return x>0?x:0; } +double frac_part(double x){ + return x - floor(x); +} + struct asian_option : public var_alea<double> { asian_option(double r, double T, double S0, double V, int d, double K) @@ -50,15 +55,56 @@ struct asian_option : public var_alea<double> gaussian G; }; +struct asian_option_qmc : public var_alea<double> +{ + asian_option_qmc(double r, double T, double S0, double V, int d, double K) + : r(r), T(T), S0(S0), V(V), d(d), K(K), G(d), U(0,1) {}; + + double operator()() { + std::vector<double> S(d); + std::vector<double> sob(d); + sob = G(); + S[0]= S0*exp((r-V*V/2)*(T/d)+V*sqrt(T/d)*gsl_cdf_gaussian_Pinv(frac_part(U()+sob[0]), 1)); + for(int i=1;i<d;i++){ + S[i]=S[i-1]*exp((r-V*V/2)*(T/d)+V*sqrt(T/d)*gsl_cdf_gaussian_Pinv(frac_part(U()+sob[i]), 1)); + } + 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; + sobol G; + uniform U; +}; int main(){ init_alea(1); asian_option A(0.05, 1.0, 50.0, 0.1, 16, 45); - int N=1000000; + asian_option_qmc B(0.05, 1.0, 50.0, 0.1, 16, 45); + int M= 1000000; + int N=10000; + int I=100; - std::vector<double> meanvar = monte_carlo(N, A); + std::vector<double> meanvar = monte_carlo(M, A); std::cout<<"espérance "<<meanvar[0] <<" IC "<<meanvar[2]<<std::endl; + std::vector<double> temp; + double m = 0; + double s = 0; + for(int i=0;i<I;i++){ + temp = monte_carlo(N,B); + m+=temp[0]; + s+=temp[0]*temp[0]; + } + m = m/I; + s = s/I - m*m; + std::cout<<"espérance "<<m <<" IC "<<sqrt(s)*1.96/10<<std::endl; return 0; |