From 8fd762b2e427f62b531614e5e84dfbfb3b7fff37 Mon Sep 17 00:00:00 2001
From: Bertrand <bertrand.horel@gmail.com>
Date: Sun, 14 Feb 2016 21:24:26 +0000
Subject: réécriture avec classe
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---
 option.cpp | 83 ++++++++++++++++++++++++++++++--------------------------------
 1 file changed, 40 insertions(+), 43 deletions(-)

diff --git a/option.cpp b/option.cpp
index a104c19..deb8347 100644
--- a/option.cpp
+++ b/option.cpp
@@ -4,64 +4,61 @@
 #include <algorithm>
 #include <iostream>
 
-typedef struct option_param {
-    double r;
-    double T;
-    double S0;
-    double V;
-    int d;
-    double K;
-}option_param;
 
-
-std::vector<double> path_gen(std::vector<double> X, option_param *p){
-    std::vector<double> S(p->d);
-    S[0]= p->S0*exp((p->r-p->V*p->V/2)*(p->T/p->d)+p->V*sqrt(p->T/p->d)*X[0]);
-    for(int i=1;i<p->d;i++){
-        S[i]=S[i-1]*exp((p->r-p->V*p->V/2)*(p->T/p->d)+p->V*sqrt(p->T/p->d)*X[i]);
-    }
-    return S;
+template <typename L>
+std::vector<double> monte_carlo(int n, L X)
+{
+	std::vector<double> result(3,0);
+	double x;
+	for (int j = 0; j < n; j++) {
+		x = X();
+		result[0] += x;
+		result[1] += x*x;
+	}
+	result[0] /= (double) n;
+	result[1] = (result[1] - n*result[0]*result[0])/(double)(n-1);
+	result[2] = 1.96*sqrt(result[1]/(double) n);
+	return result;
 }
 
 double pos (double x){
     return x>0?x:0;
 }
 
-double pay_off (double mean, option_param* p){
-    return exp(-p->r*p->T)*pos(mean-p->K);
-}
-    
-std::pair<double,double> monte_carl(option_param* p, int N){
-    double moyenne=0;
-    double variance=0;
-    gaussian G(0,1);
-    double temp=0;
-    std::vector<double> S(p->d);
-    std::vector<double> X(p->d);
-    for(int i=0; i<N; i++){
-        for(int j=0;j<p->d;j++){
-            X[j]=G();
+struct asian_option : public var_alea<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), G(0,1) {};
+        
+	double operator()() {
+        std::vector<double> S(d);
+        S[0]= S0*exp((r-V*V/2)*(T/d)+V*sqrt(T/d)*G());
+        for(int i=1;i<d;i++){
+            S[i]=S[i-1]*exp((r-V*V/2)*(T/d)+V*sqrt(T/d)*G());
         }
-        S=path_gen(X, p);
-        temp = pay_off(std::accumulate(S.begin(), S.end(), 0.)/p->d, p);
-        moyenne+=temp;
-        variance+=temp*temp;
-    }
-    return {moyenne/N, variance/N-(moyenne/N)*(moyenne/N)};
-}
-
+        double temp = std::accumulate(S.begin(), S.end(), 0.)/d;
+        return exp(-r*T)*pos(temp-K);
+    };
+    
+	private:
+        double r;
+        double T;
+        double S0;
+        double V;
+        int d;
+        double K;
+        gaussian G;
+};
 
 
-    
-    
 
 int main(){
     init_alea(1);
-    option_param p = {.r=0.05, .T=1.0, .S0=50.0, .V=0.1, .d=16, .K=45};
+    asian_option A(0.05, 1.0, 50.0, 0.1, 16, 45);
     int N=1000000;
     
-    std::pair<double,double> meanvar = monte_carl(&p, N);
-    std::cout<<"espérance "<<meanvar.first<<" IC "<<1.64*sqrt(meanvar.second)/sqrt(N)<<std::endl;
+    std::vector<double> meanvar = monte_carlo(N, A);
+    std::cout<<"espérance "<<meanvar[0] <<" IC "<<meanvar[2]<<std::endl;
 
     
     return 0;
-- 
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