From 97936197c500283db5e73959ef2d2c69b05a5ac3 Mon Sep 17 00:00:00 2001
From: Bertrand <bertrand.horel@gmail.com>
Date: Sun, 14 Feb 2016 18:17:56 +0000
Subject: réécriture avec une structure paramètres
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---
 option.cpp | 42 +++++++++++++++++++-----------------------
 1 file changed, 19 insertions(+), 23 deletions(-)

diff --git a/option.cpp b/option.cpp
index 5caf23f..87aeca6 100644
--- a/option.cpp
+++ b/option.cpp
@@ -4,32 +4,33 @@
 #include <algorithm>
 #include <iostream>
 
-double r;
-double T;
-double S0;
-double V;
-int d;
+struct option_param {
+    double r;
+    double T;
+    double S0;
+    double V;
+    int d;
+};
 
-std::vector<double> path_gen(std::vector<double> X){
-    d=X.size();
-    std::vector<double> S(d);
-    S[0]= S0;
-    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]);
+std::vector<double> path_gen(std::vector<double> X, option_param *p){
+    std::vector<double> S(p->d);
+    S[0]= p->S0;
+    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;
 }
 
-double mean_monte_carl(double r, double T, double S0, double V, int N, int d){
+double mean_monte_carl(option_param* p, int N){
     double moyenne=0;
     gaussian G;
-    std::vector<double> S(d);
-    std::vector<double> X(d);
+    std::vector<double> S(p->d);
+    std::vector<double> X(p->d);
     for(int i=1; i<N; i++){
-        for(int j=1;j<d;i++){
+        for(int j=1;j<p->d;i++){
             X[i]=G();
         }
-        S=path_gen(X);
+        S=path_gen(X, p);
         moyenne+=std::accumulate(S.begin(), S.end(), 0 );
     }
     return moyenne/N;
@@ -37,15 +38,10 @@ double mean_monte_carl(double r, double T, double S0, double V, int N, int d){
 
 int main(){
     init_alea(0);
-    double r=0.05;
-    double T=1.0;
-    double S0=50.0;
-    double V=0.1;
-    int d=16;
+    option_param* p = {.r=0.05, .T=1.0, .S0=50.0, .V=0.1, .d=16};
     int N=1000000;
     
-    
-    double moyenne = mean_monte_carl(r, T, S0, V, N, d);
+    double moyenne = mean_monte_carl(p, N);
     std::cout<<moyenne<<std::endl;
 
     
-- 
cgit v1.2.3-70-g09d2