From a694fcb762653683d03b073db49af6ea8197855f Mon Sep 17 00:00:00 2001
From: Bertrand <bertrand.horel@gmail.com>
Date: Sat, 20 Feb 2016 16:29:52 +0000
Subject: recherche demax

---
 src/opti.cpp | 65 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
 1 file changed, 65 insertions(+)
 create mode 100644 src/opti.cpp

(limited to 'src/opti.cpp')

diff --git a/src/opti.cpp b/src/opti.cpp
new file mode 100644
index 0000000..1b5df1d
--- /dev/null
+++ b/src/opti.cpp
@@ -0,0 +1,65 @@
+#include <vector>
+#include <nlopt.hpp>
+#include <cmath>
+#include <algorithm>
+#include <iostream>
+
+double pos (double x){
+    return x>0?x:0;
+};
+
+double f (const std::vector<double> &X, std::vector<double> &grad, void *params) {
+    int d = X.size();
+    double *p =(double *)params;
+    double r=p[0] ; double T=p[1]; double S0=p[2];
+    double V=p[3]; double K=p[4];
+    double norm = 0;
+    for(int i=0; i<d; i++){
+        norm+=X[i]*X[i];
+    }
+    std::vector<double> S(d);
+    S[0]= S0*exp((r-V*V/2)*(T/d)+V*sqrt(T/d)*X[0]);
+    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]);
+    }
+    double temp = std::accumulate(S.begin(), S.end(), 0.)/d;
+    double value = exp(-r*T)*pos(temp-K);
+    return log(value) - 0.5*norm;
+};
+
+
+
+
+int main() {
+    
+    double params[5] = {0.05, 1, 50, 0.1, 45};
+    
+    nlopt::opt opt(nlopt::LN_COBYLA, 16);
+
+    opt.set_max_objective(f, &params);
+
+    opt.set_xtol_rel(1e-4);
+
+    std::vector<double> x(16,0);
+    std::vector<double> g();
+
+    
+    std::cout<<"valeur au début"<<f(x, g, &params)<<std::endl;
+
+    double maxf;
+    nlopt::result result = opt.optimize(x, maxf);
+    for(int i=0; i<16; i++){
+        std::cout<<x[i]<<std::endl;
+    }
+    std::cout<<"valeur à la fin"<<maxf<<std::endl;
+
+    return 0;
+}
+
+    
+    
+    
+    
+    
+    
+    
-- 
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