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-rw-r--r--src/projet.cpp8
1 files changed, 5 insertions, 3 deletions
diff --git a/src/projet.cpp b/src/projet.cpp
index b4fa5f9..c4bd6d8 100644
--- a/src/projet.cpp
+++ b/src/projet.cpp
@@ -6,6 +6,7 @@
#include <cmath>
#include <algorithm>
#include "opti.hpp"
+#include "option.hpp"
using namespace std;
@@ -49,8 +50,9 @@ void exemple1_stratified() {
vector<double> q = quantile_norm(100, 1);
vector<double> p(100, 0.01);
asian_option A(0.05, 1.0, 50, 0.1, d, 45);
- f_mu G(mu,A);
- std::vector<compose_t <f_mu, multi_gaussian_truncated> > X;
+ exponential_tilt<asian_option> G(mu, A);
+ typedef compose_t<exponential_tilt<asian_option>, multi_gaussian_truncated> tilted_option;
+ std::vector<tilted_option> X;
X.push_back(compose(G, multi_gaussian_truncated(GSL_NEGINF,q[0], u)));
for(int i=1; i<100; i++) {
X.push_back(compose(G, multi_gaussian_truncated(q[i-1],q[i], u)));
@@ -58,7 +60,7 @@ void exemple1_stratified() {
for(int i=0; i<100; i=i+10){
std::cout<<X[i]()<<endl;
}
- stratified_sampling<compose_t <f_mu, multi_gaussian_truncated> > S(p, X);
+ stratified_sampling<tilted_option> S(p, X);
S.draw(1000);
cout<<"l'estimateur de la moyenne est :"<<S.estimator().first<<endl;
}