From 8c9f217887de0802d6b8dfa1f872ec3cf8797d45 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Thu, 21 Apr 2016 15:23:49 -0400
Subject: tout marche j'espère
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---
 src/opti.cpp | 11 +++--------
 1 file changed, 3 insertions(+), 8 deletions(-)

(limited to 'src/opti.cpp')

diff --git a/src/opti.cpp b/src/opti.cpp
index efe5643..2824a69 100644
--- a/src/opti.cpp
+++ b/src/opti.cpp
@@ -18,24 +18,19 @@ double f (const std::vector<double> &X, std::vector<double> &grad, void *params)
         norm+=X[i]*X[i];
     }
     asian_option A(p->r, p->T, p->S0, p->V, p->K, p->call);
-    return log(A(X)) - 0.5*norm;
+    return log(A(X)+1e-10) - 0.5*norm;//on rajoute 1e-10 pour être sur que le log soit défini
 };
 
-
-
-
 std::vector<double> argmax(double r, double T, double S0, double V, double K, int d, bool call){
 
     option_params params = {.r = r, .T = T, .S0 = S0, .V=V, .K=K, .call=call};
 
     nlopt::opt opt(nlopt::LN_COBYLA, d);
-
     opt.set_max_objective(f, &params);
-
     opt.set_xtol_rel(1e-4);
 
-    std::vector<double> x(d,1);
-    std::vector<double> g(0);
+    double x0 = call? 1: -1;
+    std::vector<double> x(d, x0);
 
     double maxf;
     nlopt::result result = opt.optimize(x, maxf);
-- 
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