From 16e1de7cbeaf4d62d8d008d6c3bc0eab2b1d6c5f Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Wed, 13 Apr 2016 13:40:48 -0400
Subject: simplify opti.cpp

---
 src/opti.cpp   | 29 +++++------------------------
 src/opti.hpp   |  4 ----
 src/projet.cpp |  1 +
 3 files changed, 6 insertions(+), 28 deletions(-)

(limited to 'src')

diff --git a/src/opti.cpp b/src/opti.cpp
index 6b05ecd..211a7e3 100644
--- a/src/opti.cpp
+++ b/src/opti.cpp
@@ -1,8 +1,5 @@
 #include "opti.hpp"
-
-double pos (double x){
-    return x>0?x:0;
-};
+#include "option.hpp"
 
 double f (const std::vector<double> &X, std::vector<double> &grad, void *params) {
     int d = X.size();
@@ -13,23 +10,15 @@ double f (const std::vector<double> &X, std::vector<double> &grad, void *params)
     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;
+    asian_option A(r, T, S0, V, d, K);
+    return log(A(X)) - 0.5*norm;
 };
 
 
-
-
 std::vector<double> argmax(double r, double T, double S0, double V, double K, int d){
-    
+
     double params[5] = {r, T, S0, V, K};
-    
+
     nlopt::opt opt(nlopt::LN_COBYLA, d);
 
     opt.set_max_objective(f, &params);
@@ -44,11 +33,3 @@ std::vector<double> argmax(double r, double T, double S0, double V, double K, in
 
     return x;
 }
-
-    
-    
-    
-    
-    
-    
-    
diff --git a/src/opti.hpp b/src/opti.hpp
index e12d544..109e759 100644
--- a/src/opti.hpp
+++ b/src/opti.hpp
@@ -4,10 +4,6 @@
 #include <algorithm>
 #include <iostream>
 
-double pos (double x);
-
 double f (const std::vector<double> &X, std::vector<double> &grad, void *params);
 
 std::vector<double> argmax(double r, double T, double S0, double V, double K, int d);
-
-
diff --git a/src/projet.cpp b/src/projet.cpp
index e5405e0..a3646e7 100644
--- a/src/projet.cpp
+++ b/src/projet.cpp
@@ -7,6 +7,7 @@
 #include <algorithm>
 #include "opti.hpp"
 #include "option.hpp"
+#include "rqmc.hpp"
 
 using namespace std;
 
-- 
cgit v1.2.3-70-g09d2