From 745160f29da6ec55fa48863768bcc1305edd9314 Mon Sep 17 00:00:00 2001
From: Bertrand <bertrand.horel@gmail.com>
Date: Fri, 15 Apr 2016 14:21:04 +0200
Subject: encore un peu de nettoyage

---
 Makefile       |  2 +-
 src/opti.cpp   | 14 +++-----------
 src/opti.hpp   |  3 ---
 src/option.hpp |  5 +++--
 src/projet.cpp |  1 +
 5 files changed, 8 insertions(+), 17 deletions(-)

diff --git a/Makefile b/Makefile
index f58a3cc..7f69f8a 100644
--- a/Makefile
+++ b/Makefile
@@ -17,7 +17,7 @@ table.tex: make_table
 make_table: make_table.o mt19937.o
 	$(CXX) $^ -o $@
 
-projet: projet.o stratified_sampling.o mt19937.o var_alea.o opti.o rqmc.o p_adic.o
+projet: projet.o stratified_sampling.o mt19937.o var_alea.o opti.o rqmc.o p_adic.o option.o
 	$(CXX) $^ -o $@ $(GSL_FLAGS) $(NLOPT_FLAGS)
 
 stratified_sampling.o: stratified_sampling.hpp
diff --git a/src/opti.cpp b/src/opti.cpp
index 6b05ecd..18759cf 100644
--- a/src/opti.cpp
+++ b/src/opti.cpp
@@ -1,8 +1,6 @@
 #include "opti.hpp"
+#include "option.hpp"
 
-double pos (double x){
-    return x>0?x:0;
-};
 
 double f (const std::vector<double> &X, std::vector<double> &grad, void *params) {
     int d = X.size();
@@ -13,14 +11,8 @@ 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];
     }
-    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;
-    double value = exp(-r*T)*pos(temp-K);
-    return log(value) - 0.5*norm;
+    asian_option A(r, T, S0, V, d, K);
+    return log(A(X)) - 0.5*norm;
 };
 
 
diff --git a/src/opti.hpp b/src/opti.hpp
index e12d544..5be65b3 100644
--- a/src/opti.hpp
+++ b/src/opti.hpp
@@ -1,11 +1,8 @@
 #include <vector>
 #include <nlopt.hpp>
 #include <cmath>
-#include <algorithm>
 #include <iostream>
 
-double pos (double x);
-
 double f (const std::vector<double> &X, std::vector<double> &grad, void *params);
 
 std::vector<double> argmax(double r, double T, double S0, double V, double K, int d);
diff --git a/src/option.hpp b/src/option.hpp
index 4d9ee13..49d1900 100644
--- a/src/option.hpp
+++ b/src/option.hpp
@@ -1,4 +1,5 @@
-#include "rqmc.hpp"
+#include <vector>
+#include <algorithm>
 
 double pos (double x);
 
@@ -24,6 +25,6 @@ struct asian_option : public std::unary_function<std::vector<double>, double>
         double V;
         int d;
         double K;
-    };
+};
         
         
diff --git a/src/projet.cpp b/src/projet.cpp
index c4bd6d8..007dd6c 100644
--- a/src/projet.cpp
+++ b/src/projet.cpp
@@ -7,6 +7,7 @@
 #include <algorithm>
 #include "opti.hpp"
 #include "option.hpp"
+#include "rqmc.hpp"
 
 using namespace std;
 
-- 
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