#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();
    option_params *p = (option_params *)params;
    double norm = 0;
    for(int i=0; i<d; i++){
        norm+=X[i]*X[i];
    }
    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, 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);

    opt.set_xtol_rel(1e-4);

    std::vector<double> x(d,0);
    std::vector<double> g(0);

    double maxf;
    nlopt::result result = opt.optimize(x, maxf);

    return x;
}