diff options
Diffstat (limited to 'src')
| -rw-r--r-- | src/opti.cpp | 11 | ||||
| -rw-r--r-- | src/projet.cpp | 28 |
2 files changed, 14 insertions, 25 deletions
diff --git a/src/opti.cpp b/src/opti.cpp index efe5643..2824a69 100644 --- a/src/opti.cpp +++ b/src/opti.cpp @@ -18,24 +18,19 @@ double f (const std::vector<double> &X, std::vector<double> &grad, void *params) norm+=X[i]*X[i]; } asian_option A(p->r, p->T, p->S0, p->V, p->K, p->call); - return log(A(X)) - 0.5*norm; + return log(A(X)+1e-10) - 0.5*norm;//on rajoute 1e-10 pour être sur que le log soit défini }; - - - std::vector<double> argmax(double r, double T, double S0, double V, double K, int d, bool call){ option_params params = {.r = r, .T = T, .S0 = S0, .V=V, .K=K, .call=call}; nlopt::opt opt(nlopt::LN_COBYLA, d); - opt.set_max_objective(f, ¶ms); - opt.set_xtol_rel(1e-4); - std::vector<double> x(d,1); - std::vector<double> g(0); + double x0 = call? 1: -1; + std::vector<double> x(d, x0); double maxf; nlopt::result result = opt.optimize(x, maxf); diff --git a/src/projet.cpp b/src/projet.cpp index 7f6544a..d2cae1a 100644 --- a/src/projet.cpp +++ b/src/projet.cpp @@ -89,7 +89,7 @@ vector <vector<double> > exemple2_stratified (int d, bool call = true){ double V = 0.1; typedef compose_t<exponential_tilt<asian_option>, multi_gaussian_truncated> tilted_option; for (size_t i=0; i < K.size(); i++){ - vector<double> mu = argmax(r, T, S0, V, K[i], d); + vector<double> mu = argmax(r, T, S0, V, K[i], d, call); std::vector<double> u = normalize(mu); asian_option A(r, T, S0, V, K[i], call); exponential_tilt<asian_option> G(mu, A); @@ -127,8 +127,8 @@ vector< vector<double> > exemple2_rqmc(int d, bool call = true) { return data; }; -int make_table1(vector< vector<double> > data1, vector< vector<double> > data2) { - std::fstream fs("doc/table.tex", std::fstream::out); +int make_table1(vector< vector<double> > const &data1, vector< vector<double> > const &data2) { + std::fstream fs("doc/table1.tex", std::fstream::out); fs<<R"(\begin{tabular}{|r|rr|rr|c|})"<<std::endl; fs<<R"(\hline)"<<endl; fs<<"N"<<" & "<<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; @@ -163,29 +163,23 @@ int make_table2(vector< vector<double> > data1, vector< vector<double> > data2, fs.close(); return 0; } - + int main() { - init_alea(2); - //~ cout<<gsl_cdf_gaussian_Pinv(0.975,1)<<endl; - //~ cout<<"Stratified_sampling sur l'exemple 1 de la normale"<<endl; - //~ vector< vector<double> > data1 = exemple1_stratified(); - //~ cout<<"Randomised quasi Monte-Carlo sur l'exemple 1 de la normale"<<endl; - //~ vector< vector<double> > data2 = exemple1_rqmc(); - //~ make_table1(data1, data2); - + init_alea(0); + cout<<"comparaison stratified sampling/RQMC sur l'example 1\n"<<endl; + make_table1(exemple1_stratified(), exemple1_rqmc()); vector< vector<double> > data1 = exemple2_stratified(16); - vector< vector<double> > data2 = exemple2_rqmc(16); + vector< vector<double> > data2 = exemple2_rqmc(16); vector< vector<double> > data3 = exemple2_stratified(64); - vector< vector<double> > data4 = exemple2_rqmc(64); + vector< vector<double> > data4 = exemple2_rqmc(64); 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> > data6 = exemple2_rqmc(16, false); + cout<<"test"<<endl; 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; } |