diff options
Diffstat (limited to 'src/opti.cpp')
| -rw-r--r-- | src/opti.cpp | 7 |
1 files changed, 2 insertions, 5 deletions
diff --git a/src/opti.cpp b/src/opti.cpp index 2824a69..71577c1 100644 --- a/src/opti.cpp +++ b/src/opti.cpp @@ -1,5 +1,6 @@ #include "opti.hpp" #include "option.hpp" +#include <algorithm> typedef struct option_params { double r; @@ -11,12 +12,8 @@ typedef struct option_params { } option_params; double f (const std::vector<double> &X, std::vector<double> &grad, void *params) { - int d = X.size(); option_params *p = (option_params *)params; - double norm = 0; - for(int i=0; i<d; i++){ - norm+=X[i]*X[i]; - } + double norm = std::accumulate(X.begin(), X.end(), 0., [](double x, double y){ return x + y*y;}); asian_option A(p->r, p->T, p->S0, p->V, p->K, p->call); return log(A(X)+1e-10) - 0.5*norm;//on rajoute 1e-10 pour être sur que le log soit défini }; |