diff options
Diffstat (limited to 'src/opti.cpp')
| -rw-r--r-- | src/opti.cpp | 11 |
1 files changed, 3 insertions, 8 deletions
diff --git a/src/opti.cpp b/src/opti.cpp index efe5643..2824a69 100644 --- a/src/opti.cpp +++ b/src/opti.cpp @@ -18,24 +18,19 @@ double f (const std::vector<double> &X, std::vector<double> &grad, void *params) norm+=X[i]*X[i]; } asian_option A(p->r, p->T, p->S0, p->V, p->K, p->call); - return log(A(X)) - 0.5*norm; + return log(A(X)+1e-10) - 0.5*norm;//on rajoute 1e-10 pour être sur que le log soit défini }; - - - std::vector<double> argmax(double r, double T, double S0, double V, double K, int d, bool call){ option_params params = {.r = r, .T = T, .S0 = S0, .V=V, .K=K, .call=call}; nlopt::opt opt(nlopt::LN_COBYLA, d); - opt.set_max_objective(f, ¶ms); - opt.set_xtol_rel(1e-4); - std::vector<double> x(d,1); - std::vector<double> g(0); + double x0 = call? 1: -1; + std::vector<double> x(d, x0); double maxf; nlopt::result result = opt.optimize(x, maxf); |