From 4e723ffa229db059601d3a0c47f6c229652ee208 Mon Sep 17 00:00:00 2001
From: Bertrand <bertrand.horel@gmail.com>
Date: Wed, 20 Apr 2016 21:56:00 +0200
Subject: modification de la structure asian option

---
 src/opti.cpp   |  2 +-
 src/option.hpp | 16 +++++++++++-----
 src/projet.cpp | 13 +++++--------
 3 files changed, 17 insertions(+), 14 deletions(-)

diff --git a/src/opti.cpp b/src/opti.cpp
index 18759cf..8a9b34e 100644
--- a/src/opti.cpp
+++ b/src/opti.cpp
@@ -11,7 +11,7 @@ double f (const std::vector<double> &X, std::vector<double> &grad, void *params)
     for(int i=0; i<d; i++){
         norm+=X[i]*X[i];
     }
-    asian_option A(r, T, S0, V, d, K);
+    asian_option A(r, T, S0, V, K);
     return log(A(X)) - 0.5*norm;
 };
 
diff --git a/src/option.hpp b/src/option.hpp
index 49d1900..12c1043 100644
--- a/src/option.hpp
+++ b/src/option.hpp
@@ -5,17 +5,23 @@ double pos (double x);
 
 struct asian_option : public std::unary_function<std::vector<double>, double>
 {
-    asian_option(double r, double T, double S0, double V, int d, double K)
-        : r(r), T(T), S0(S0), V(V), d(d), K(K) {};
+    asian_option(double r, double T, double S0, double V, double K, bool call = true)
+        : r(r), T(T), S0(S0), V(V), K(K) {};
     
-    double operator()(std::vector<double> X) const {
+    double operator()(std::vector<double> &X) const {
+        int d= X.size();
         std::vector<double> S(d);
         S[0]= S0*exp((r-V*V/2)*(T/d)+V*sqrt(T/d)*X[0]);
         for(int i=1;i<d;i++){
             S[i]=S[i-1]*exp((r-V*V/2)*(T/d)+V*sqrt(T/d)*X[i]);
         }
         double temp = std::accumulate(S.begin(), S.end(), 0.)/d;
-        return exp(-r*T)*pos(temp-K);
+        if (call) {
+            return  exp(-r*T)*pos(temp-K);
+            } 
+        else {
+            return exp(-r*T)*pos(K-temp);
+            }
         };
         
     private:
@@ -23,8 +29,8 @@ struct asian_option : public std::unary_function<std::vector<double>, double>
         double T;
         double S0;
         double V;
-        int d;
         double K;
+        bool call;
 };
         
         
diff --git a/src/projet.cpp b/src/projet.cpp
index af322ed..9d3ac15 100644
--- a/src/projet.cpp
+++ b/src/projet.cpp
@@ -82,7 +82,7 @@ std::vector<double> normalize (std::vector<double> mu) {
      u = normalize(mu);
      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);
+     asian_option A(0.05, 1.0, 50, 0.1, 45, true);
      exponential_tilt<asian_option> G(mu, A);
      typedef compose_t<exponential_tilt<asian_option>, multi_gaussian_truncated> tilted_option;
      std::vector<tilted_option> X;
@@ -90,16 +90,13 @@ std::vector<double> normalize (std::vector<double> mu) {
      for(int i=1; i<100; i++) {
          X.push_back(compose(G, multi_gaussian_truncated(q[i-1],q[i], u)));
      }
-     for(int i=0; i<100; i=i+10){
-         std::cout<<X[i]()<<endl;
-     }
      stratified_sampling<tilted_option> S(p, X);
-     S.draw(1000);
+     S.draw(1000000);
      cout<<"l'estimateur de la moyenne est :"<<S.estimator().first<<endl;
 }
 
 void exemple2_rqmc(int d) {
-    asian_option A(0.05, 1.0, 50.0, 0.1, 16, 45);
+    asian_option A(0.05, 1.0, 50.0, 0.1, 45,true);
     int N= 10000;
 
     
@@ -116,7 +113,7 @@ void exemple2_rqmc(int d) {
     }
 };
 
-int make_table(vector< vector<double> > data1, vector< vector<double> > data2) {
+int make_table1(vector< vector<double> > data1, vector< vector<double> > data2) {
     std::fstream fs("doc/table.tex", std::fstream::out);;
     fs<<R"(\begin{tabular}{|r|rr|rr|c|})"<<std::endl;
     fs<<R"(\hline)"<<endl;
@@ -139,7 +136,7 @@ int main()
     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_table(data1, data2);
+    make_table1(data1, data2);
     
     exemple2_stratified(16);
     return 0;
-- 
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