From 61d99224c2f5cbf0320bf05aca0d2ce15c2d0482 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Wed, 20 Apr 2016 15:57:52 -0400
Subject: Répare opti.hpp
MIME-Version: 1.0
Content-Type: text/plain; charset=UTF-8
Content-Transfer-Encoding: 8bit

---
 src/opti.cpp   | 30 ++++++++++++++----------------
 src/opti.hpp   |  4 +---
 src/option.hpp | 14 ++++++--------
 3 files changed, 21 insertions(+), 27 deletions(-)

(limited to 'src')

diff --git a/src/opti.cpp b/src/opti.cpp
index 8a9b34e..7f838e9 100644
--- a/src/opti.cpp
+++ b/src/opti.cpp
@@ -1,27 +1,33 @@
 #include "opti.hpp"
 #include "option.hpp"
 
+typedef struct option_params {
+    double r;
+    double T;
+    double S0;
+    double V;
+    double K;
+    bool call;
+} option_params;
 
 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];
+    option_params *p = (option_params *)params;
     double norm = 0;
     for(int i=0; i<d; i++){
         norm+=X[i]*X[i];
     }
-    asian_option A(r, T, S0, V, K);
+    asian_option A(p->r, p->T, p->S0, p->V, p->K, p->call);
     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};
-    
+std::vector<double> argmax(double r, double T, double S0, double V, double K, int d, bool call){
+
+    option_params params = {.r = r, .T = T, .S0 = S0, .V=V, .K=K, .call=call};
+
     nlopt::opt opt(nlopt::LN_COBYLA, d);
 
     opt.set_max_objective(f, &params);
@@ -36,11 +42,3 @@ 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 5be65b3..ce072ea 100644
--- a/src/opti.hpp
+++ b/src/opti.hpp
@@ -5,6 +5,4 @@
 
 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);
-
-
+std::vector<double> argmax(double r, double T, double S0, double V, double K, int d, bool call=true);
diff --git a/src/option.hpp b/src/option.hpp
index 12c1043..387638c 100644
--- a/src/option.hpp
+++ b/src/option.hpp
@@ -5,11 +5,11 @@ 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, double K, bool call = true)
-        : r(r), T(T), S0(S0), V(V), K(K) {};
-    
-    double operator()(std::vector<double> &X) const {
-        int d= X.size();
+    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), call(call) {};
+
+    double operator()(const 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++){
@@ -23,7 +23,7 @@ struct asian_option : public std::unary_function<std::vector<double>, double>
             return exp(-r*T)*pos(K-temp);
             }
         };
-        
+
     private:
         double r;
         double T;
@@ -32,5 +32,3 @@ struct asian_option : public std::unary_function<std::vector<double>, double>
         double K;
         bool call;
 };
-        
-        
-- 
cgit v1.2.3-70-g09d2