diff options
Diffstat (limited to 'src/opti.hpp')
| -rw-r--r-- | src/opti.hpp | 13 |
1 files changed, 13 insertions, 0 deletions
diff --git a/src/opti.hpp b/src/opti.hpp new file mode 100644 index 0000000..e12d544 --- /dev/null +++ b/src/opti.hpp @@ -0,0 +1,13 @@ +#include <vector> +#include <nlopt.hpp> +#include <cmath> +#include <algorithm> +#include <iostream> + +double pos (double x); + +double f (const std::vector<double> &X, std::vector<double> &grad, void *params); + +std::vector<double> argmax(double r, double T, double S0, double V, double K, int d); + + |