From d2b133901a65244934eb642ec8e20c797efaf650 Mon Sep 17 00:00:00 2001
From: Bertrand <bertrand.horel@gmail.com>
Date: Fri, 19 Feb 2016 15:03:51 +0000
Subject: nettoyage du dépôt
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---
 src/option.cpp | 92 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
 1 file changed, 92 insertions(+)
 create mode 100644 src/option.cpp

(limited to 'src/option.cpp')

diff --git a/src/option.cpp b/src/option.cpp
new file mode 100644
index 0000000..0e5a56c
--- /dev/null
+++ b/src/option.cpp
@@ -0,0 +1,92 @@
+#include <algorithm>
+#include <iostream>
+#include "rqmc.hpp"
+#include "p_adic.o"
+
+double frac_part(double x){
+    return x - floor(x);
+}
+
+double pos (double x){
+    return x>0?x:0;
+}
+
+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]);
+        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;
+        return exp(-r*T)*pos(temp-K);
+        };
+        
+    private:
+        double r;
+        double T;
+        double S0;
+        double V;
+        int d;
+        double K;
+    };
+        
+        
+
+
+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), G(d) {};
+        
+    typename Fct::result_type operator()() {
+        double sum =0;
+        for(int i=0; i<n; i++){
+            sum += payoff(G());
+            
+        }
+        return sum/n;
+    };
+    
+    private:
+        int n, d;
+        Fct payoff;
+        quasi_gaussian<LDS> G;
+    };
+
+int main(){
+    init_alea(1);
+    asian_option A(0.05, 1.0, 50.0, 0.1, 16, 45);
+    int N= 10000;
+    
+    int d =16; 
+
+    
+    std::vector<double> result(3);
+    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;
+    }
+
+
+    
+    return 0;
+}
+        
+        
+        
+        
+    
+
+        
+    
-- 
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