From 355e4567e68a76356714e2e58a42dcd78533cf6c Mon Sep 17 00:00:00 2001
From: Bertrand <bertrand.horel@gmail.com>
Date: Fri, 19 Feb 2016 14:36:20 +0000
Subject: un peu de nettoyage

---
 option.cpp | 38 ++++++++++++++++----------------------
 1 file changed, 16 insertions(+), 22 deletions(-)

(limited to 'option.cpp')

diff --git a/option.cpp b/option.cpp
index 7fb5ce3..0e5a56c 100644
--- a/option.cpp
+++ b/option.cpp
@@ -1,6 +1,7 @@
 #include <algorithm>
 #include <iostream>
 #include "rqmc.hpp"
+#include "p_adic.o"
 
 double frac_part(double x){
     return x - floor(x);
@@ -37,36 +38,24 @@ struct asian_option : public std::unary_function<std::vector<double>, double>
         
 
 
-template <typename Fct>
-struct quasi_option : public generator<double>
+template <typename Fct, typename LDS>
+struct quasi_option : public generator<typename Fct::result_type>
 {
-    quasi_option(int n, int d, Fct payoff) : n(n), d(d), payoff(payoff), U(0,1), s(d), seed(d) {};
+    quasi_option(int n, int d, Fct payoff) : n(n), d(d), payoff(payoff), G(d) {};
         
-    double operator()() {
-        std::vector<double> X(d);
+    typename Fct::result_type operator()() {
         double sum =0;
-        for(int i=0; i<d; i++){
-                seed[i]=U();
-            }
-        for (int i=0; i<n; i++){
-            X=s();
-            //std::cout<<X[i]<<std::endl;
-            for(int i=0; i<d; i++){
-                X[i] = gsl_cdf_gaussian_Pinv(frac_part(seed[i]+X[i]), 1);
-            }
-            sum += payoff(X);
-            //std::cout<<X[i]<<std::endl;
+        for(int i=0; i<n; i++){
+            sum += payoff(G());
+            
         }
-        
         return sum/n;
     };
     
     private:
         int n, d;
         Fct payoff;
-        uniform U;
-        sobol s;
-        std::vector<double> seed;
+        quasi_gaussian<LDS> G;
     };
 
 int main(){
@@ -76,10 +65,15 @@ int main(){
     
     int d =16; 
 
-    typedef asian_option payoff_type;
     
     std::vector<double> result(3);
-    result = monte_carlo(100, quasi_option<payoff_type> (N, d, A));
+    result = monte_carlo(100, quasi_option<asian_option, sobol> (N, d, A));
+    for(int i =0; i<3; i++){
+        std::cout<<result[i]<<std::endl;
+    }
+    
+    std::vector<double> result2(3);
+    result = monte_carlo(100, quasi_option<asian_option, halton> (N, d, A));
     for(int i =0; i<3; i++){
         std::cout<<result[i]<<std::endl;
     }
-- 
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