diff options
Diffstat (limited to 'src/projet.cpp')
| -rw-r--r-- | src/projet.cpp | 8 |
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; } |
