From 906c2dee383a7eb72632bfbdf61916a576a5460d Mon Sep 17 00:00:00 2001
From: Bertrand <bertrand.horel@gmail.com>
Date: Sun, 21 Feb 2016 16:35:30 +0000
Subject: création de la struct f_mu
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---
 src/main.cpp | 29 ++++++++++++++++++++++-------
 1 file changed, 22 insertions(+), 7 deletions(-)

(limited to 'src/main.cpp')

diff --git a/src/main.cpp b/src/main.cpp
index f6e998a..561b8c2 100644
--- a/src/main.cpp
+++ b/src/main.cpp
@@ -6,6 +6,7 @@
 #include "stratified_sampling.hpp"
 #include <cmath>
 #include <algorithm>
+#include "opti.hpp"
 
 using namespace std;
 //--génération quantiles--
@@ -43,16 +44,30 @@ x = 1.64*S.estimator().second;
 };
 
 
+ void exemple2 (){
+     std::vector<double> mu(16);
+     mu = argmax(0.05, 1.0, 50, 0.1, 45, 16);
+     double norm_mu = 0;
+     std::vector<double> u(16);
+     for(int i=0; i<16; i++) {
+         norm_mu += mu[i]*mu[i];
+         u[i] = mu[i]/norm_mu;
+     }
+     vector<double> q = quantile_norm(100, 1);
+     vector<double> p(100, 0.01);
+     asian_option A(0.05, 1.0, 50, 0.1, 45, 16);
+     f_mu G(mu,A);
+     multi_gaussian_truncated MG(q[50],q[51], u);
+     for(int i=0; i<10; i++){
+        std::cout<<G(MG())<<std::endl;
+    }
+}
+
 
 int main()
 {   
-    std::vector<double> u {sqrt(0.2), sqrt(0.2), sqrt(0.2), sqrt(0.2), sqrt(0.2)};
-    multi_gaussian_truncated G(0, 2, u);
-    std::vector<double> r(5);
-    r = G();
-    for (int i=0; i<5; i++){
-        std::cout<<r[i]<<std::endl;
-    }
+    
+    exemple2();
         
     return 0; 
 }
-- 
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