diff options
Diffstat (limited to 'src')
| -rw-r--r-- | src/projet.cpp | 30 |
1 files changed, 18 insertions, 12 deletions
diff --git a/src/projet.cpp b/src/projet.cpp index fb86414..7f6544a 100644 --- a/src/projet.cpp +++ b/src/projet.cpp @@ -76,7 +76,7 @@ std::vector<double> normalize (std::vector<double> mu) { } -vector <vector<double> > exemple2_stratified (int d){ +vector <vector<double> > exemple2_stratified (int d, bool call = true){ vector<double> K = {45, 50, 55}; vector<int> N = {100000, 400000, 500000}; int I = 100; //le nombre de strates @@ -91,7 +91,7 @@ vector <vector<double> > exemple2_stratified (int d){ for (size_t i=0; i < K.size(); i++){ vector<double> mu = argmax(r, T, S0, V, K[i], d); std::vector<double> u = normalize(mu); - asian_option A(r, T, S0, V, K[i], true); + asian_option A(r, T, S0, V, K[i], call); exponential_tilt<asian_option> G(mu, A); std::vector<tilted_option> X; X.push_back(compose(G, multi_gaussian_truncated(GSL_NEGINF, q[0], u))); @@ -111,7 +111,7 @@ vector <vector<double> > exemple2_stratified (int d){ return data; } -vector< vector<double> > exemple2_rqmc(int d) { +vector< vector<double> > exemple2_rqmc(int d, bool call = true) { int N= 10000; double r = 0.05; double T = 1.0; @@ -121,7 +121,7 @@ vector< vector<double> > exemple2_rqmc(int d) { vector<double> K = {45, 50, 55}; int I=100;//la taille du vrai Monte-Carlo for(int i =0; i<3; i++) { - asian_option A(r, T, S0, V, K[i], true); + asian_option A(r, T, S0, V, K[i], call); data[i] = monte_carlo(I, quasi_mean<asian_option, sobol> (N, d, A)); } return data; @@ -142,8 +142,8 @@ int make_table1(vector< vector<double> > data1, vector< vector<double> > data2) return 0; } -int make_table2(vector< vector<double> > data1, vector< vector<double> > data2, vector< vector<double> > data3, vector< vector<double> > data4) { - std::fstream fs("doc/table2.tex", std::fstream::out); +int make_table2(vector< vector<double> > data1, vector< vector<double> > data2, vector< vector<double> > data3, vector< vector<double> > data4, string table_name) { + std::fstream fs("doc/" + table_name, std::fstream::out); fs<<R"(\begin{tabular}{|r|r|rr|rr|c|})"<<std::endl; fs<<R"(\hline)"<<endl; fs<<"d"<<" & "<<"K"<<" & "<<R"($\mu_{strat}$)"<<" & "<<R"($\mu_{rqmc}$)"<<" & "<<R"($\textrm{IC}_{strat}$)"<<" & "<<R"($\textrm{IC}_{rqmc}$)"<<" & "<< R"($\textrm{IC}_{strat}/\textrm{IC}_{rqmc}$)"<<R"(\\ \hline)"<<std::endl; @@ -151,14 +151,14 @@ int make_table2(vector< vector<double> > data1, vector< vector<double> > data2, int N = 1000000; for (int i=0; i< 3; i++) { double ic_strat = 1.95996*sqrt(data1[i][2]/(double) N); - fs<<"16"<<" & "<< (int) (data1[i][0]) <<"&"<< data1[i][1] <<" & "<<data2[i][0]<<" & "<< scientific <<ic_strat<<" & "<<data2[i][2]/2<<" & "<<fixed<<ic_strat/(data2[i][2]/2)<<R"(\\)"<<std::endl; - fs<<R"(\hline)"<<endl; + fs<<"16"<<" & "<< (int) (data1[i][0]) <<"&"<< fixed <<data1[i][1] <<" & "<<data2[i][0]<<" & "<< scientific <<ic_strat<<" & "<<data2[i][2]/2<<" & "<<fixed<<ic_strat/(data2[i][2]/2)<<R"(\\)"<<std::endl; } + fs<<R"(\hline\hline)"<<endl; for (int i=0; i< 3; i++) { double ic_strat = 1.95996*sqrt(data3[i][2]/(double) N); - fs<<"64"<<" & "<< (int) (data3[i][0]) <<"&"<< data3[i][1] <<" & "<<data4[i][0]<<" & "<< scientific <<ic_strat<<" & "<<data4[i][2]/2<<" & "<<fixed<<ic_strat/(data4[i][2]/2)<<R"(\\)"<<std::endl; - fs<<R"(\hline)"<<endl; + fs<<"64"<<" & "<< (int) (data3[i][0]) <<"&"<< fixed << data3[i][1] <<" & "<<data4[i][0]<<" & "<< scientific <<ic_strat<<" & "<<data4[i][2]/2<<" & "<<fixed<<ic_strat/(data4[i][2]/2)<<R"(\\)"<<std::endl; } + fs<<R"(\hline)"<<endl; fs<<R"(\end{tabular})"<<std::endl; fs.close(); return 0; @@ -173,12 +173,18 @@ int main() //~ cout<<"Randomised quasi Monte-Carlo sur l'exemple 1 de la normale"<<endl; //~ vector< vector<double> > data2 = exemple1_rqmc(); //~ make_table1(data1, data2); - + vector< vector<double> > data1 = exemple2_stratified(16); vector< vector<double> > data2 = exemple2_rqmc(16); vector< vector<double> > data3 = exemple2_stratified(64); vector< vector<double> > data4 = exemple2_rqmc(64); - make_table2(data1, data2, data3, data4); + make_table2(data1, data2, data3, data4, "table2.tex"); + vector< vector<double> > data5 = exemple2_stratified(16, false); + vector< vector<double> > data6 = exemple2_rqmc(16, false); + vector< vector<double> > data7 = exemple2_stratified(64, false); + vector< vector<double> > data8 = exemple2_rqmc(64,false); + make_table2(data5, data6, data7, data8, "table3.tex"); + return 0; |