1 files changed, 33 insertions, 14 deletions

diff --git a/option.cpp b/option.cpp
index 87aeca6..a104c19 100644
--- a/option.cpp
+++ b/option.cpp
@@ -4,45 +4,64 @@
 #include <algorithm>
 #include <iostream>
 
-struct option_param {
+typedef struct option_param {
     double r;
     double T;
     double S0;
     double V;
     int d;
-};
+    double K;
+}option_param;
+
 
 std::vector<double> path_gen(std::vector<double> X, option_param *p){
     std::vector<double> S(p->d);
-    S[0]= p->S0;
+    S[0]= p->S0*exp((p->r-p->V*p->V/2)*(p->T/p->d)+p->V*sqrt(p->T/p->d)*X[0]);
     for(int i=1;i<p->d;i++){
         S[i]=S[i-1]*exp((p->r-p->V*p->V/2)*(p->T/p->d)+p->V*sqrt(p->T/p->d)*X[i]);
     }
     return S;
 }
 
-double mean_monte_carl(option_param* p, int N){
+double pos (double x){
+    return x>0?x:0;
+}
+
+double pay_off (double mean, option_param* p){
+    return exp(-p->r*p->T)*pos(mean-p->K);
+}
+    
+std::pair<double,double> monte_carl(option_param* p, int N){
     double moyenne=0;
-    gaussian G;
+    double variance=0;
+    gaussian G(0,1);
+    double temp=0;
     std::vector<double> S(p->d);
     std::vector<double> X(p->d);
-    for(int i=1; i<N; i++){
-        for(int j=1;j<p->d;i++){
-            X[i]=G();
+    for(int i=0; i<N; i++){
+        for(int j=0;j<p->d;j++){
+            X[j]=G();
         }
         S=path_gen(X, p);
-        moyenne+=std::accumulate(S.begin(), S.end(), 0 );
+        temp = pay_off(std::accumulate(S.begin(), S.end(), 0.)/p->d, p);
+        moyenne+=temp;
+        variance+=temp*temp;
     }
-    return moyenne/N;
+    return {moyenne/N, variance/N-(moyenne/N)*(moyenne/N)};
 }
 
+
+
+    
+    
+
 int main(){
-    init_alea(0);
-    option_param* p = {.r=0.05, .T=1.0, .S0=50.0, .V=0.1, .d=16};
+    init_alea(1);
+    option_param p = {.r=0.05, .T=1.0, .S0=50.0, .V=0.1, .d=16, .K=45};
     int N=1000000;
     
-    double moyenne = mean_monte_carl(p, N);
-    std::cout<<moyenne<<std::endl;
+    std::pair<double,double> meanvar = monte_carl(&p, N);
+    std::cout<<"espérance "<<meanvar.first<<" IC "<<1.64*sqrt(meanvar.second)/sqrt(N)<<std::endl;
 
     
     return 0;