From 61360cfad94f08b304a1a51af2e4f0de49c3b370 Mon Sep 17 00:00:00 2001
From: Bertrand <bertrand.horel@gmail.com>
Date: Thu, 21 Apr 2016 16:40:04 +0200
Subject: la table des put

---
 src/projet.cpp | 30 ++++++++++++++++++------------
 1 file changed, 18 insertions(+), 12 deletions(-)

(limited to 'src')

diff --git a/src/projet.cpp b/src/projet.cpp
index fb86414..7f6544a 100644
--- a/src/projet.cpp
+++ b/src/projet.cpp
@@ -76,7 +76,7 @@ std::vector<double> normalize (std::vector<double> mu) {
 }
 
 
-vector <vector<double> > exemple2_stratified (int d){
+vector <vector<double> > exemple2_stratified (int d, bool call = true){
     vector<double> K = {45, 50, 55};
     vector<int> N = {100000, 400000, 500000};
     int I = 100; //le nombre de strates
@@ -91,7 +91,7 @@ vector <vector<double> > exemple2_stratified (int d){
     for (size_t i=0; i < K.size(); i++){
         vector<double> mu = argmax(r, T, S0, V, K[i], d);
         std::vector<double> u = normalize(mu);
-        asian_option A(r, T, S0, V, K[i], true);
+        asian_option A(r, T, S0, V, K[i], call);
         exponential_tilt<asian_option> G(mu, A);
         std::vector<tilted_option> X;
         X.push_back(compose(G, multi_gaussian_truncated(GSL_NEGINF, q[0], u)));
@@ -111,7 +111,7 @@ vector <vector<double> > exemple2_stratified (int d){
     return data;
 }
 
-vector< vector<double> > exemple2_rqmc(int d) {
+vector< vector<double> > exemple2_rqmc(int d, bool call = true) {
     int N= 10000;
     double r = 0.05;
     double T = 1.0;
@@ -121,7 +121,7 @@ vector< vector<double> > exemple2_rqmc(int d) {
     vector<double> K = {45, 50, 55};
     int I=100;//la taille du vrai Monte-Carlo
     for(int i =0; i<3; i++) {
-        asian_option A(r, T, S0, V, K[i], true);
+        asian_option A(r, T, S0, V, K[i], call);
         data[i] = monte_carlo(I, quasi_mean<asian_option, sobol> (N, d, A));
     }
     return data;
@@ -142,8 +142,8 @@ int make_table1(vector< vector<double> > data1, vector< vector<double> > data2)
     return 0;
 }
 
-int make_table2(vector< vector<double> > data1, vector< vector<double> > data2, vector< vector<double> > data3, vector< vector<double> > data4) {
-    std::fstream fs("doc/table2.tex", std::fstream::out);
+int make_table2(vector< vector<double> > data1, vector< vector<double> > data2, vector< vector<double> > data3, vector< vector<double> > data4, string table_name) {
+    std::fstream fs("doc/" + table_name, std::fstream::out);
     fs<<R"(\begin{tabular}{|r|r|rr|rr|c|})"<<std::endl;
     fs<<R"(\hline)"<<endl;
     fs<<"d"<<" & "<<"K"<<" & "<<R"($\mu_{strat}$)"<<" & "<<R"($\mu_{rqmc}$)"<<" & "<<R"($\textrm{IC}_{strat}$)"<<" & "<<R"($\textrm{IC}_{rqmc}$)"<<" & "<< R"($\textrm{IC}_{strat}/\textrm{IC}_{rqmc}$)"<<R"(\\ \hline)"<<std::endl;
@@ -151,14 +151,14 @@ int make_table2(vector< vector<double> > data1, vector< vector<double> > data2,
     int N = 1000000;
     for (int i=0; i< 3; i++) {
         double ic_strat = 1.95996*sqrt(data1[i][2]/(double) N);
-        fs<<"16"<<" & "<< (int) (data1[i][0]) <<"&"<< data1[i][1] <<" & "<<data2[i][0]<<" & "<< scientific <<ic_strat<<" & "<<data2[i][2]/2<<" & "<<fixed<<ic_strat/(data2[i][2]/2)<<R"(\\)"<<std::endl;
-        fs<<R"(\hline)"<<endl;
+        fs<<"16"<<" & "<< (int) (data1[i][0]) <<"&"<< fixed <<data1[i][1] <<" & "<<data2[i][0]<<" & "<< scientific <<ic_strat<<" & "<<data2[i][2]/2<<" & "<<fixed<<ic_strat/(data2[i][2]/2)<<R"(\\)"<<std::endl;
     }
+    fs<<R"(\hline\hline)"<<endl;
     for (int i=0; i< 3; i++) {
         double ic_strat = 1.95996*sqrt(data3[i][2]/(double) N);
-        fs<<"64"<<" & "<< (int) (data3[i][0]) <<"&"<< data3[i][1] <<" & "<<data4[i][0]<<" & "<< scientific <<ic_strat<<" & "<<data4[i][2]/2<<" & "<<fixed<<ic_strat/(data4[i][2]/2)<<R"(\\)"<<std::endl;
-        fs<<R"(\hline)"<<endl;
+        fs<<"64"<<" & "<< (int) (data3[i][0]) <<"&"<< fixed << data3[i][1] <<" & "<<data4[i][0]<<" & "<< scientific <<ic_strat<<" & "<<data4[i][2]/2<<" & "<<fixed<<ic_strat/(data4[i][2]/2)<<R"(\\)"<<std::endl;
     }
+    fs<<R"(\hline)"<<endl;
     fs<<R"(\end{tabular})"<<std::endl;
     fs.close();
     return 0;
@@ -173,12 +173,18 @@ int main()
     //~ cout<<"Randomised quasi Monte-Carlo sur l'exemple 1 de la normale"<<endl;
     //~ vector< vector<double> > data2 = exemple1_rqmc();
     //~ make_table1(data1, data2);
-
+    
     vector< vector<double> > data1 = exemple2_stratified(16);
     vector< vector<double> > data2 = exemple2_rqmc(16); 
     vector< vector<double> > data3 = exemple2_stratified(64);
     vector< vector<double> > data4 = exemple2_rqmc(64); 
-    make_table2(data1, data2, data3, data4);
+    make_table2(data1, data2, data3, data4, "table2.tex");
+    vector< vector<double> > data5 = exemple2_stratified(16, false);
+    vector< vector<double> > data6 = exemple2_rqmc(16, false); 
+    vector< vector<double> > data7 = exemple2_stratified(64, false);
+    vector< vector<double> > data8 = exemple2_rqmc(64,false);
+    make_table2(data5, data6, data7, data8, "table3.tex");
+    
     
     return 0;
 
-- 
cgit v1.2.3-70-g09d2