From 4e723ffa229db059601d3a0c47f6c229652ee208 Mon Sep 17 00:00:00 2001
From: Bertrand <bertrand.horel@gmail.com>
Date: Wed, 20 Apr 2016 21:56:00 +0200
Subject: modification de la structure asian option

---
 src/option.hpp | 16 +++++++++++-----
 1 file changed, 11 insertions(+), 5 deletions(-)

(limited to 'src/option.hpp')

diff --git a/src/option.hpp b/src/option.hpp
index 49d1900..12c1043 100644
--- a/src/option.hpp
+++ b/src/option.hpp
@@ -5,17 +5,23 @@ double pos (double x);
 
 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) {};
+    asian_option(double r, double T, double S0, double V, double K, bool call = true)
+        : r(r), T(T), S0(S0), V(V), K(K) {};
     
-    double operator()(std::vector<double> X) const {
+    double operator()(std::vector<double> &X) const {
+        int d= X.size();
         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);
+        if (call) {
+            return  exp(-r*T)*pos(temp-K);
+            } 
+        else {
+            return exp(-r*T)*pos(K-temp);
+            }
         };
         
     private:
@@ -23,8 +29,8 @@ struct asian_option : public std::unary_function<std::vector<double>, double>
         double T;
         double S0;
         double V;
-        int d;
         double K;
+        bool call;
 };
         
         
-- 
cgit v1.2.3-70-g09d2