From 34996b9f0db9b665661380946f3acf4997bac7b0 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Thu, 18 Feb 2016 18:12:05 -0500
Subject: reorganize repo

---
 src/option.cpp | 24 +++++++-----------------
 1 file changed, 7 insertions(+), 17 deletions(-)

(limited to 'src/option.cpp')

diff --git a/src/option.cpp b/src/option.cpp
index 0e5a56c..38c91ff 100644
--- a/src/option.cpp
+++ b/src/option.cpp
@@ -15,7 +15,7 @@ struct asian_option : public std::unary_function<std::vector<double>, double>
 {
     asian_option(double r, double T, double S0, double V, int d, double K)
         : r(r), T(T), S0(S0), V(V), d(d), K(K) {};
-    
+
     double operator()(std::vector<double> X) const {
         std::vector<double> S(d);
         S[0]= S0*exp((r-V*V/2)*(T/d)+V*sqrt(T/d)*X[0]);
@@ -25,7 +25,7 @@ struct asian_option : public std::unary_function<std::vector<double>, double>
         double temp = std::accumulate(S.begin(), S.end(), 0.)/d;
         return exp(-r*T)*pos(temp-K);
         };
-        
+
     private:
         double r;
         double T;
@@ -34,8 +34,8 @@ struct asian_option : public std::unary_function<std::vector<double>, double>
         int d;
         double K;
     };
-        
-        
+
+
 
 
 template <typename Fct, typename LDS>
@@ -51,7 +51,7 @@ struct quasi_option : public generator<typename Fct::result_type>
         }
         return sum/n;
     };
-    
+
     private:
         int n, d;
         Fct payoff;
@@ -60,7 +60,8 @@ struct quasi_option : public generator<typename Fct::result_type>
 
 int main(){
     init_alea(1);
-    asian_option A(0.05, 1.0, 50.0, 0.1, 16, 45);
+    int d = 64;
+    asian_option A(0.05, 1.0, 50., 0.1, d, 45);
     int N= 10000;
     
     int d =16; 
@@ -77,16 +78,5 @@ int main(){
     for(int i =0; i<3; i++){
         std::cout<<result[i]<<std::endl;
     }
-
-
-    
     return 0;
 }
-        
-        
-        
-        
-    
-
-        
-    
-- 
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