From 07aa7631a8128f66c1e132ce30000bb506c683ea Mon Sep 17 00:00:00 2001
From: Bertrand <bertrand.horel@gmail.com>
Date: Thu, 21 Apr 2016 13:13:25 +0200
Subject: modif exemple2_rqmc

---
 src/projet.cpp | 27 ++++++++++++++-------------
 1 file changed, 14 insertions(+), 13 deletions(-)

diff --git a/src/projet.cpp b/src/projet.cpp
index 241ab0b..16aca2b 100644
--- a/src/projet.cpp
+++ b/src/projet.cpp
@@ -112,25 +112,25 @@ std::vector<double> normalize (std::vector<double> mu) {
     return data;
 }
 
-void exemple2_rqmc(int d) {
-    asian_option A(0.05, 1.0, 50.0, 0.1, 45,true);
+vector< vector<double> > exemple2_rqmc(int d) {
     int N= 10000;
-    
-    std::vector<double> result(3);
-    result = monte_carlo(100, quasi_mean<asian_option, sobol> (N, d, A));
+    double r = 0.05;
+    double T = 1.0;
+    double S0 = 50;
+    double V = 0.1;
+    vector< vector<double> > data(3);
+    vector<double> K = {45, 50, 55};
     for(int i =0; i<3; i++){
-        std::cout<<result[i]<<std::endl;
-    }
-    
-    std::vector<double> result2(3);
-    result2 = monte_carlo(100, quasi_mean<asian_option, halton> (N, d, A));
+        asian_option A(r, T, S0, V, K[i], true);
+        data[i] = monte_carlo(100, quasi_mean<asian_option, sobol> (N, d, A));}
     for(int i =0; i<3; i++){
-        std::cout<<result2[i]<<std::endl;
+        std::cout<<data[i][0]<<std::endl;
     }
+    return data;
 };
 
 int make_table1(vector< vector<double> > data1, vector< vector<double> > data2) {
-    std::fstream fs("doc/table.tex", std::fstream::out);;
+    std::fstream fs("doc/table.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;
@@ -144,6 +144,7 @@ int make_table1(vector< vector<double> > data1, vector< vector<double> > data2)
     return 0;
 }
 
+
 int main()
 {   
     init_alea(2);
@@ -153,7 +154,7 @@ 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);
-    
+    exemple2_rqmc(16);
     exemple2_stratified(16);
     return 0;
     
-- 
cgit v1.2.3-70-g09d2